VARXLagCons {BigVAR}

Construct a VAR or VARX lag matrix

Description

Construct a VAR or VARX lag matrix

Usage

VARXLagCons(Y, X = NULL, p, s = 0, oos = FALSE, contemp = FALSE)

Arguments

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).

Details

This function is not required unless you which to design your own cross validation routine.

Value

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

References

See page 15 of Lutkepohl, 'A New Introduction to Multiple Time Series Analysis

See Also

MultVarSim

Examples

data(Y)
# construct VAR lag matrix with p=4
ZZ<-VARXLagCons(Y,X=NULL,p=4,s=0)