VAR.etp (version 1.1)

VAR.est: Estimation of unrestricted VAR(p) model parameters

Description

This function returns least-squares estimation results for VAR(p) model

Usage

VAR.est(x, p, type = "const")

Value

coef

coefficient matrix

resid

matrix of residuals

sigu

residual covariance matrix

zzmat

data moment matrix

zmat

data moment matrix

tratio

matrix of tratio corresponding to coef matrix

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

Author

Jae H. Kim

Details

VAR estimation

References

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

Examples

#replicating Section 3.2.3 of of Lutkepohl (2005)
data(dat)
M=VAR.est(dat,p=2,type="const")
print(M$coef)
print(M$tratio)