VAR function

Vector autoregression

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

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

Arguments

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

Returns

Estimate VAR model

Examples

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

References

Sims, C. A. (1980). Macroeconomics and reality. Econometrica, 1-48.

Author(s)

David Gabauer