bcVAR {bcVAR}R Documentation

Bias-corrected LS VAR

Description

Estimation of the Bias-corrected LS of a VAR(p) model.

Usage

bcVAR(data = data, p = 1, constant = TRUE, ...)

Arguments

data

Data item containing the endogenous variables.

p

Integer for the lag order (default is p = 1).

constant

If constant = TRUE, a intercept vector is included in the model.

...

Not used.

Details

Estimates a VAR by OLS and applies the bias correction of Pope, A. L. (1990). The model is of the following form:

\bold{y}_t = [\bold{v}, A_1, …, A_p] + \bold{u}_t,

where \bold{y}_t is a K \times 1 vector of endogenous variables and \bold{u}_t is assumed to be iid white noise. The coefficient matrices A_1, …, A_p are of dimension K \times K. The intercept vector \bold{v} is of dimension K \times 1. The LS estimator is

\hat{A} = [\hat{\bold{v}}, \hat{A}_1, …, \hat{A}_p] = YZ'(ZZ')^-1,

where...

Value

A list with class attribute ‘varest’ holding the following elements:

varresult

list of ‘lm’ objects with the bias-corrected LS of the VAR(p) process.

datamat

The data matrix of the endogenous and explanatory variables.

y

The data matrix of the endogenous variables.

p

An integer specifying the lag order.

K

An integer specifying the dimension of the VAR.

obs

An integer specifying the number of used observations.

totobs

An integer specifying the total number of observations.

restrictions

Always NULL. Zero restrictions of the VAR(p) are not implemented.

call

The call to bcVAR().

Author(s)

Simon Röck

References

Pope, A. L. (1990), Biases of estimators in multivariate non-gausssian autoregressions, Journal of Time Series Analysis.

Kilian, L., & Lütkepohl, H. (2017), Structural Vector Autoregressive Analysis, Cambridge University Press, Cambridge.

Examples

## load data of package
data("USmacro", package = "bcVAR")

## detrend data (substract mean)
dataDT <- apply(USmacro, 2, function(y) y - mean(y))

## example for a bias-corrected LS VAR(4) model (see Chapter 2 of Kilian, L., & Lütkepohl, H. (2017))
bcVAR(dataDT, p = 4, constant = TRUE)


[Package bcVAR version 0.1-0 Index]