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Last data update: 2014.03.03

R: Estimation of a reduced form VAR model

reduced.form.var

R Documentation

Estimation of a reduced form VAR model

Description

Estimates a reduced form VAR using equation-by-equation seemingly unrelated regression (SUR).

Usage

reduced.form.var(Y, p, z=NULL)

Arguments

`Y`	T x m multiple time series object created with `ts()`.
`p`	Lag length
`z`	T x k exogenous variables in a matrix of T rows. Can be `NULL` if there are none.

Details

This is a frequentist VAR estimator. This is a workhorse function — you will want to use other functions such as irf, mc.irf or dfev to report and interpret the results of this object.

Value

List of class "VAR" with elements,

`intercept`	Row vector of the m intercepts.
`ar.coefs`	m x m x p array of the AR coefficients. The first m x m array is for lag 1, the p'th array for lag p.
`Bhat`	(mp + k + 1) x m matrix of the coefficients, where the columns correspond to the variables in the VAR. Intercepts follow the AR coefficients, etc.
`exog.coefs`	k x m matrix of exogenous coefficients, or `NA` if `z=NULL`
`vcv`	m x m matrix of the maximum likelihood estimate of the residual covariance
`mean.S`	m x mmatrix of the posterior residual covariance.
`hstar`	mp x mp right hand side variables crossproduct.
`X`	Right hand side variables for the estimation of BVAR
`Y`	Left hand side variables for the estimation of BVAR
`y`	Input data (Y)

Author(s)

Patrick T. Brandt

References

Sims, C.A. 1980. "Macroeconomics and Reality" Econometrica 48(1): 1-48.

Examples

data(IsraelPalestineConflict)
rf.var <- reduced.form.var(IsraelPalestineConflict, p=6)
plot(irf(rf.var, nsteps=12))

Results


R version 3.3.1 (2016-06-21) -- "Bug in Your Hair"
Copyright (C) 2016 The R Foundation for Statistical Computing
Platform: x86_64-pc-linux-gnu (64-bit)

R is free software and comes with ABSOLUTELY NO WARRANTY.
You are welcome to redistribute it under certain conditions.
Type 'license()' or 'licence()' for distribution details.

R is a collaborative project with many contributors.
Type 'contributors()' for more information and
'citation()' on how to cite R or R packages in publications.

Type 'demo()' for some demos, 'help()' for on-line help, or
'help.start()' for an HTML browser interface to help.
Type 'q()' to quit R.

> library(MSBVAR)
##
## MSBVAR Package v.0.9-2
## Build date:  Mon Jul  4 19:53:09 2016 
## Copyright (C) 2005-2016, Patrick T. Brandt
## Written by Patrick T. Brandt
##
## Support provided by the U.S. National Science Foundation
## (Grants SES-0351179, SES-0351205, SES-0540816, and SES-0921051)
##

> png(filename="/home/ddbj/snapshot/RGM3/R_CC/result/MSBVAR/reduced.form.var.Rd_%03d_medium.png", width=480, height=480)
> ### Name: reduced.form.var
> ### Title: Estimation of a reduced form VAR model
> ### Aliases: reduced.form.var
> ### Keywords: ts models
> 
> ### ** Examples
> 
> data(IsraelPalestineConflict)
> rf.var <- reduced.form.var(IsraelPalestineConflict, p=6)
> plot(irf(rf.var, nsteps=12))
         [,1]      [,2]
[1,]  0.00000  3.386248
[2,] 60.58718 24.067998
> 
> 
> 
> 
> 
> 
> dev.off()
null device 
          1 
>