MTS: VARX – R documentation

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VARX

VAR Model with Exogenous Variables

Estimation of a VARX model

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

`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

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

`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

Ruey S. Tsay

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

All-Purpose Toolkit for Analyzing Multivariate Time Series (MTS) and Estimating Multivariate Volatility Models

v1.0

Artistic License 2.0

Authors

Ruey S. Tsay and David Wood

Initial release

2018-10-8