simuVAR {MSTest}R Documentation

Simulate VAR process

Description

This function simulates a vector autoregresive process.

Usage

simuVAR(mdl_h0, burnin = 100)

Arguments

mdl_h0

List containing the following DGP parameters

  • n: Length of series.

  • mu: A (q x 1) vector of means.

  • sigma: A (q x q) covariance matrix.

  • phi: A (q x qp) matrix of autoregressive coefficients.

  • p: Number of autoregressive lags.

  • q: Number of series.

  • eps: An optional (T+burnin x q) matrix with standard normal errors to be used. Errors will be generated if not provided.

burnin

Number of simulated observations to remove from beginning. Default is 100.

Value

List with simulated vector autoregressive series and its DGP parameters.

[Package MSTest version 0.1.2 Index]