VARest {weakARMA}

Estimation of VAR(p) model

Description

Estimates the coefficients of a VAR(p) model. Used in matXi.

Usage

VARest(x, p)

Arguments

x

Matrix of dimension (n,p+q).

p

Integer for the lag order.

Value

A list containing:

ac

Coefficients data matrix.

p

Integer of the lag order.

k

Dimension of the VAR.

res

Matrix of residuals.