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VAR(p) multivariate autoregression – alias of Varest

Source: R/varF.R
VarF.Rd

DUPLICATE, resolved by aliasing. This module and Varest name the same estimator: the reduced-form VAR(p), y_t = nu + A_1 y_{t-1} + ... + A_p y_{t-p} + u_t, fitted by multivariate least squares. Sims (1980), "Macroeconomics and Reality", Econometrica 48(1):1-48, doi:10.2307/1912017, put the reduced-form VAR into macroeconometrics; Lutkepohl (2005), doi:10.1007/978-3-540-27752-1, states the estimator, and that is what Varest implements. The two differ in provenance, not in arithmetic, so this is a re-export rather than a second copy.

Usage

VarF(Y, p = 1, intercept = TRUE)

Arguments

Y

T-by-K matrix of observations.

p

Lag order.

intercept

Include the constant nu.

Value

As Varest.

References

Sims, C.A. (1980). Macroeconomics and Reality. Econometrica 48(1):1-48. doi:10.2307/1912017.

Examples

set.seed(2)
Y <- matrix(rnorm(80), 40, 2)
Y[-1, ] <- Y[-1, ] + 0.5 * Y[-40, ]   # a weak VAR(1) signal
VarF(Y, 1)$loglik
#> [1] -119.7593