VAR {MultiATSM} | R Documentation |
Estimates a standard VAR(1)
Description
Estimates a standard VAR(1)
Usage
VAR(RiskFactors, VARtype, Bcon = NULL)
Arguments
RiskFactors |
A numeric matrix (FTx T) representing the time series of risk factors. |
VARtype |
String vector with two possible values: 'unconstrained' or 'constrained'. |
Bcon |
Constraints matrix (F+1 x N), which includes an intercept. If Bcon(i,j) = NA, then B(i,j) is treated as a free parameter. |
Value
intercept, feedback matrix and the variance-covariance matrix of a VAR(1)
Examples
data("CM_Factors")
# Example 1: unconstrained case
VAR(RiskFactors, VARtype= 'unconstrained')
# Example 2: constrained case
K <- nrow(RiskFactors)
Bcon <- matrix(0, nrow = K, ncol = K+1)
Bcon[ , 1:3] <- NaN
VAR(RiskFactors, VARtype= 'constrained', Bcon)
[Package MultiATSM version 1.3.1 Index]