MSTest (version 0.1.9)

simuVARX: Simulate VARX process

Description

This function simulates a vector autoregressive process with exogenous regressors.

Usage

simuVARX(mdl_h0, burnin = 100)

Value

List with simulated vector autoregressive series and its DGP parameters.

Arguments

mdl_h0

List containing the following DGP parameters

• n: Length of series.

• mu: A (q x 1) vector of means.

• sigma: A (q x q) covariance matrix.

• phi: A (q x (q x p)) matrix of autoregressive coefficients.

• p: Number of autoregressive lags.

• q: Number of series.

• eps: An optional (T+burnin x q) matrix with standard normal errors to be used. Errors will be generated if not provided.

• Z: A (T x qz) matrix with exogenous regressors (Optional) and where qz is the number of exogenous variables.

• betaZ: A (qz x q) matrix true coefficients on exogenous regressors (Optional) and where qz is the number of exogenous variables.

burnin

Number of simulated observations to remove from beginning. Default is 100.

Examples

set.seed(1234)
# Define DGP of VAR process
mdl_3var2 <- list(n     = 1000, 
                  p     = 2,
                  q     = 3,
                  mu    = c(5, -2, 1),
                  sigma = rbind(c(5.0, 1.5, 2.5),
                                c(1.5, 1.0, 1.5),
                                c(2.5, 1.5, 4.2)),
                  phi   = rbind(c(0.70, 0.30, 0.35,  -0.50, -0.20,   0.25),
                                c(0.20, 0.40, 0.35,  -0.30,  0.30,   0.25),
                                c(0.20, 0.30, 0.50,  -0.30, -0.20,  -0.40)))

# Simulate process using simuVAR() function
y3var2_simu <- simuVAR(mdl_3var2)

plot(y3var2_simu)