MTS: VARs – R documentation

Become an expert in R — Interactive courses, Cheat Sheets, certificates and more!

VARs

VAR Model with Selected Lags

This is a modified version of VAR command by allowing the users to specify which AR lags to be included in the model.

VARs(x, lags, include.mean = T, output = T, fixed = NULL)

`x`	A T-by-k data matrix of k-dimensional time series with T observations
`lags`	A vector of non-zero AR lags. For instance, lags=c(1,3) denotes a VAR(3) model with Phi2 = 0.
`include.mean`	A logical switch to include the mean vector
`output`	A logical switch to control output
`fixed`	A logical matrix to fix parameters to zero.

Performs VAR estimation by allowing certain lag coefficient matrices being zero.

`data`	Observed time series data
`lags`	The selected VAR lags
`order`	The VAR order
`cnst`	A logical switch to include the mean vector
`coef`	Parameter estimates
`aic,bic`	Information criteria of the fitted model
`residuals`	Residual series
`secoef`	Standard errors of the estimates
`Sigma`	Residual covariance matrix
`Phi`	VAR coefficient matrix
`Ph0`	A constant vector

Ruey S. Tsay

Tsay (2014, Chapter 2). Multivariate Time Series Analysis with R and Financial Applications. John Wiley. Hoboken, NJ.

data("mts-examples",package="MTS")
zt=log(qgdp[,3:5])
m1=VARs(zt,lags=c(1,2,4))

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