ec.datalag {cif}

prepares Dy y_1 Dy_1 ... Dy_nlag-1 for estimation

Description

Prepares data for estimation

Usage

ec.datalag(y, nlag = 4)

Arguments

y

is the data matrix of variables in the VAR

nlag

is the number of lags in the VAR (min = 2)

Value

ymat contains the folloiwing columns Dy y_1 Dy_1 ... Dy_nlag-1

Author(s)

P. Berta, P. Paruolo, S. Verzillo, PG. Lovaglio

References

Berta et al. 2020