VARXLagCons {BigVAR} | R Documentation |
Construct a VAR or VARX lag matrix
VARXLagCons(Y, X = NULL, p, s = 0, oos = FALSE, contemp = FALSE)
Y |
a T \times k matrix of endogenous (modeled) series |
X |
a T \times m matrix of exogenous (unmodeled) series (default NULL) |
p |
Endogenous Lag order |
s |
exogenous lag order (default zero) |
oos |
indicator as to whether the data should be constructed for out of sample prediction (i.e. last available entries of Y as final lags default FALSE) |
contemp |
indicator as to whether to use contemporaneous exogenous predictors (for example, if exogenous series become available before exogenous default FALSE). |
This function is not required unless you which to design your own cross validation routine.
list with two entries:
"Z"kp+ms+1\times T-max(p,s) VARX lag matrix
"Y"adjusted k\times T-max(p,s) endogenous series
See page 15 of Lutkepohl, "A New Introduction to Multiple Time Series Analysis
data(Y) # construct VAR lag matrix with p=4 ZZ<-VARXLagCons(Y,X=NULL,p=4,s=0)