LADVAR function

Least absolute deviation vector autoregression

Estimation of a LAD VAR using equation-by-equation LAD regressions.

LADVAR(x, configuration = list(nlag = 1))

Arguments

• x: zoo data matrix
• configuration: model configuration
• nlag: Lag length

Returns

Estimate LAD VAR model

Examples

data("dy2012")
fit = LADVAR(dy2012, configuration=list(nlag=1))

Author(s)

David Gabauer