MARX (version 0.2)

pseudo: The pseudo-causal model function

Description

This function allows you to estimate pseudo-causal ARX models by OLS (compatible with most functions in lm() class).

Usage

pseudo(y, x, p)
# S3 method for default
pseudo(y, x, p)
# S3 method for pseudo
print(x, ...)
# S3 method for pseudo
summary(object, ...)

Arguments

y

Data vector of time series observations.

x

Matrix of data (every column represents one time series). Specify NULL or "not" if not wanted.

p

Number of lags to be included.

...

Other arguments

object

An object of the class "pseudo"

Value

An object of class "pseudo" is a list containing the following components:

coefficients

Vector of estimated coefficients.

coef.auto

Vector of estimated autoregressive parameters.

coef.exo

Vector of estimated exogenous parameters.

mse

Mean squared error.

residuals

Residuals.

loglikelihood

Value of the loglikelihood.

fitted.values

Fitted values.

df

Degrees of freedom.

vcov

Variance-covariance matrix of residuals.

Examples

# NOT RUN {
data <- sim.marx(c('t',1,1), c('t',1,1),100,0.5,0.4,0.3)
object <- pseudo(data$y, data$x, 2)
class(object) <- "pseudo"
summary(object)
# }