Usage
estBlackBox4(data, estimation="estVARXls",
lag.weight=1.0, variable.weights=1,
reduction="MittnikReduction",
criterion="taic",
trend=FALSE, subtract.means=FALSE, re.add.means=TRUE,
standardize=FALSE, verbose=TRUE, max.lag=12, sample.start=10, warn=TRUE)
bft(data, ... )Arguments
estimation
a character string indicating the estimation method to use.
lag.weight
weighting to apply to lagged observations.
variable.weights
weighting to apply to series if estimation method is estWtVariables.
reduction
character string indicating reduction procedure to use.
criterion
criterion to be used for model
selection. see informationTestsCalculations.
trend
if TRUE include a trend in the model.
subtract.means
if TRUE the mean is subtracted from the data before estimation.
re.add.means
if subtract.means is TRUE then if re.add.means is T the estimated model is
converted back to a model for data without the mean subtracted.
standardize
if TRUE the data is transformed so that all variables have the same variance.
verbose
if TRUE then additional information from the estimation and reduction
procedures is printed.
max.lag
VAR estimation is done for each lag up to max.lag.
sample.start
the starting point to use for calculating information criteria in the
final selection.
warn
logical indicating if warning messages should be suppressed.
...
arguments passed to estBlackBox4.