sparsevar (version 0.0.3)

simulateVECM: VECM simulation

Description

This function generates a simulated multivariate VECM time series.

Usage

simulateVECM(N = 100, p = 1, nobs = 250, rho = 0.5, sparsity = 0.05,
  method = "normal", covariance = "toeplitz")

Arguments

N

dimension of the time series.

p

number of lags of the VECM model.

nobs

number of observations to be generated.

rho

base value for the covariance matrix.

sparsity

density (in percentage) of the number of nonzero elements of the VAR matrices.

method

which method to use to generate the matrices. Possible values are "normal" or "bimodal".

covariance

type of covariance matrix to use in the simulation. Possible values: "toeplitz", "block1" or "block2".

Value

• A a list of NxN matrices ordered by lag

  data a list with two elements: series the multivariate time series and noises the time series of errors

  S the variance/covariance matrix of the process