valueprhr (version 0.1.0)

fit_aggregated_var: Fit Aggregated VAR Model

Description

Fits a VAR model on time-aggregated (mean across sectors) data.

Usage

fit_aggregated_var(panel_data, max_lags = 6L, difference = TRUE)

Value

A list containing:

model

The fitted vars::VAR model

selected_lag

Lag selected by information criteria

irf

Impulse response functions (if computed)

fevd

Forecast error variance decomposition (if computed)

Arguments

panel_data

Data frame in panel format.

max_lags

Maximum lag order. Default 6.

difference

Logical. Apply first differencing. Default TRUE.

Examples

# \donttest{
if (requireNamespace("vars", quietly = TRUE)) {
  set.seed(123)
  panel <- data.frame(
    year = rep(2000:2019, 5),
    sector = rep(LETTERS[1:5], each = 20),
    log_direct = rnorm(100, 5, 0.5),
    log_production = rnorm(100, 5, 0.5)
  )

  result <- fit_aggregated_var(panel)
  print(result$selected_lag)
}
# }