VARX function

VAR Model with Exogenous Variables

Estimation of a VARX model

VARX(zt, p, xt = NULL, m = 0, include.mean = T, fixed = NULL, output = T)

Arguments

• zt: A T-by-k data matrix of a k-dimensional time series
• p: The VAR order
• xt: A T-by-kx data matrix of kx exogenous variables
• m: The number of lags of exogenous variables
• include.mean: A logical switch to include the constant vector. Default is to include the constant.
• fixed: A logical matrix for setting parameters to zero.
• output: A logical switch to control output

Details

Performs least squares estimation of a VARX(p,s) model

Returns

• data: The observed time series

• xt: The data matrix of explanatory variables

• aror: VAR order

• m: The number of lags of explanatory variables used

• Ph0: The constant vector

• Phi: VAR coefficient matrix

• beta: The regression coefficient matrix

• residuals: Residual series

• coef: The parameter estimates to be used in model simplification

• se.coef: Standard errors of the parameter estimates

• include.mean: A logical switch to include the mean vector

References

Tsay (2014, Chapter 6). Multivariate Time Series Analysis with R and Financial Applications. John Wiley. Hoboken, NJ.

Author(s)

Ruey S. Tsay