run_var {autovarCore} | R Documentation |
This function calls the vars::var
function to calculate the VAR model and applies restrictions if needed. We set the intercept to 1 for restricted equations because calculations go wrong otherwise (this is a bug in the vars library).
run_var(endo_matrix, exo_matrix, lag)
endo_matrix |
A numeric matrix of endogenous data. |
exo_matrix |
Either |
lag |
A nonnegative integer specifying the lag length of the model. Specifying 0 for the lag results in calculating a lag 1 model with all lag-1 terms restricted. |
A varest
object with the VAR estimation result.
endo_matrix <- matrix(rnorm(120), ncol = 2, nrow = 60, dimnames = list(NULL, c("rumination", "activity"))) autovarCore:::run_var(endo_matrix, NULL, 1)