reduced.form.var {MSBVAR} | R Documentation |
Estimates a reduced form VAR using equation-by-equation seemingly unrelated regression (SUR).
reduced.form.var(dat, p, z=NULL)
dat |
T x m matrix of multiple time series or a multiple time series object. |
p |
Lag length |
z |
Exogenous variables in a matrix of T rows. Can be
NULL if there are none. |
Frequentist VAR estimation. This is a workhorse function — you will want to use other functions to report and interpret the results of this object.
List with elements,
intercept |
|
ar.coefs |
|
Bhat |
|
exog.coefs |
|
vcv |
|
mean.S |
|
hstar |
|
X |
|
Y |
|
y |
{Input data (dat)}
Patrick T. Brandt
Sims, C.A. 1980. "Macroeconomics and Reality" Econometrica 48(1): 1-48.
See Also szbvar
for Bayesian estimation.
data(IsraelPalestineConflict) rf.var <- reduced.form.var(IsraelPalestineConflict, p=6) plot(irf.var(rf.var, nsteps=12))