vars: fitted – R documentation

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

fitted

Fit method for objects of class varest or vec2var

Description

Returns the fitted values of a VAR(p)-model for objects generated by VAR() or vec2var(). For objects of class varest the fitted.values-method is applied to the list element varresult, which is itself a list of lm-objects.

Usage

## S3 method for class 'varest'
fitted(object, ...)
## S3 method for class 'vec2var'
fitted(object, ...)

Arguments

`object`	An object of class ‘`varest`’; generated by `VAR()`, or an object of class ‘`vec2var`’; generated by `vec2var()`.
`...`	Currently not used.

Author(s)

Bernhard Pfaff

References

Hamilton, J. (1994), Time Series Analysis, Princeton University Press, Princeton.

Lütkepohl, H. (2006), New Introduction to Multiple Time Series Analysis, Springer, New York.

Examples

data(Canada)
var.2c <- VAR(Canada, p = 2, type = "const")
fitted(var.2c)

vars

VAR Modelling

v1.5-3

GPL (>= 2)

Authors

Bernhard Pfaff [aut, cre], Matthieu Stigler [ctb]

Initial release

2018-08-05