VAR {ConnectednessApproach}

Vector autoregression

Description

Estimation of a VAR using equation-by-equation OLS regressions.

Usage

VAR(x, configuration = list(nlag = 1))

Arguments

x

zoo data matrix

configuration

model configuration

nlag

Lag length

Value

Estimate VAR model

Author(s)

David Gabauer

References

Sims, C. A. (1980). Macroeconomics and reality. Econometrica, 1-48.

Examples

data("dy2012")
fit = VAR(dy2012, configuration=list(nlag=1))