duplicateMatrix {VARcpDetectOnline}R Documentation

Construct Lagged Design Matrix for VAR

Description

Duplicates the original data matrix to create a lagged predictor matrix for VAR estimation.

Usage

duplicateMatrix(data, p)

Arguments

data

A numeric matrix with time series data (observations in rows).

p

Integer. The order of the VAR model (number of lags).

Value

A numeric matrix with duplicated columns corresponding to lagged observations.


[Package VARcpDetectOnline version 0.2.0 Index]