dse (version 2020.2-1)

estSSfromVARX: Estimate a state space TSmodel using VAR estimation

Description

Estimate a VAR TSmodel with (optionally) an exogenous input and convert to state space.

Usage

estSSfromVARX(data, warn=TRUE, ...)

Arguments

data

An object with the structure of an object of class TSdata (see TSdata).

warn

Logical indicating if warnings should be printed (TRUE) or suppressed (FALSE).

...

See arguements to estVARXls

Value

A state space model in an object of class TSestModel.

Details

This function uses the functions estVARXls and toSS.

References

Gilbert, P. D. (1993) State space and ARMA models: An overview of the equivalence. Working paper 93-4, Bank of Canada. Available at http://www.bankofcanada.ca/1993/03/publications/research/working-paper-199/.

Gilbert, P. D. (1995) Combining VAR Estimation and State Space Model Reduction for Simple Good Predictions. J. of Forecasting: Special Issue on VAR Modelling. 14:229-250.

See Also

toSS estSSMittnik bft estVARXls estMaxLik

Examples

# NOT RUN {
    data("eg1.DSE.data.diff", package="dse")
    model <-estSSfromVARX(eg1.DSE.data.diff)
# }