VAR.etp (version 0.7)

VAR.Rest: VAR parameter estimation with parameter restrictions

Description

Estimation of VAR with 0 restrictions on parameters

Usage

VAR.Rest(x, p, restrict, type = "const", method = "gls")

Arguments

x

data matrix in column

p

VAR order

restrict

Restriction matrix under H0

type

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

method

"ols" for OLS estimation, "gls" for EGLS estimation

Value

coef

coefficient matrix

resid

matrix of residuals

sigu

residual covariance matrix

zmat

data matrix

tstat

matrix of tratio corresponding to coef matrix

Details

Restriction matrix is of m by 3 matrix where m is the number of restrictions. A typical row of this matrix (k,i,j), which means that (i,j) element of Ak matrix is set to 0. Ak is a VAR coefficient matrix (k = 1,....p).

References

Lutkepohl, H. 2005, New Introduction to Multiple Time Series Analysis, Springer

Examples

data(dat) 
#replicating Section 5.2.10 of Lutkepohl (2005)
restrict = rbind( c(1,1,2),c(1,1,3),c(1,2,1),c(1,2,2), c(1,3,1),
c(2,1,1), c(2,1,2),c(2,1,3), c(2,2,2), c(2,2,3),c(2,3,1), c(2,3,3),
c(3,1,1), c(3,1,2), c(3,1,3), c(3,2,1), c(3,2,2), c(3,2,3), c(3,3,1),c(3,3,3),
c(4,1,2), c(4,1,3), c(4,2,1), c(4,2,2), c(4,2,3), c(4,3,1),c(4,3,2),c(4,3,3))
M= VAR.Rest(dat,p=4,restrict,type="const",method="gls")
print(M$coef)
print(M$tstat)