| VAR.Pope {VAR.etp} | R Documentation |
Bias-correction for VAR parameter estimators based on Pope's formula
Description
The function returns bias-corrected parmater estimators and Bias estimators based on Pope's asymptotic formula
Usage
VAR.Pope(x, p, type = "const")
Arguments
x |
data matrix in column |
p |
AR order |
type |
"const" for the AR model with intercept only, "const+trend" for the AR model with intercept and trend |
Details
Kilian's (1998) stationarity-correction is used for bias-correction
Value
coef |
Bias-corrected coefficient matrix |
resid |
matrix of residuals |
sigu |
residual covariance matrix |
Bias |
Bias Estimate |
Author(s)
Jae H. Kim
References
Kim, J. H. 2004, Bias-corrected bootstrap prediction regions for Vector Autoregression, Journal of FOrecasting 23, 141-154.
Kilian, L. (1998). Small sample confidence intervals for impulse response functions, The Review of Economics and Statistics, 80, 218 - 230.
Nicholls DF, Pope AL. 1988, Bias in estimation of multivariate autoregression. Australian Journal of Statistics, 30A, 296-309.
Pope AL. 1990. Biases of estimators in multivariate non-Gaussian autoregression, Journal of Time Series Analysis 11, 249-258.
Examples
data(dat)
VAR.Pope(dat,p=2,type="const")