VAR.etp (version 0.7)

VAR.Pope: Bias-correction for VAR parameter estimators based on Pope's formula

Description

The function returns bias-corrected parmater estimators and Bias estimators based on Pope's asymptotic formula

Usage

VAR.Pope(x, p, type = "const")

Arguments

x

data matrix in column

p

AR order

type

"const" for the AR model with intercept only, "const+trend" for the AR model with intercept and trend

Value

coef

Bias-corrected coefficient matrix

resid

matrix of residuals

sigu

residual covariance matrix

Bias

Bias Estimate

Details

Kilian's (1998) stationarity-correction is used for bias-correction

References

Kim, J. H. 2004, Bias-corrected bootstrap prediction regions for Vector Autoregression, Journal of FOrecasting 23, 141-154.

Kilian, L. (1998). Small sample confidence intervals for impulse response functions, The Review of Economics and Statistics, 80, 218 - 230.

Nicholls DF, Pope AL. 1988, Bias in estimation of multivariate autoregression. Australian Journal of Statistics, 30A, 296-309.

Pope AL. 1990. Biases of estimators in multivariate non-Gaussian autoregression, Journal of Time Series Analysis 11, 249-258.

Examples

data(dat)
VAR.Pope(dat,p=2,type="const")