VARXLagCons(Y, X = NULL, p, s = 0, oos = FALSE, contemp = FALSE)
Value
list with two entries:
'Z'\(kp+ms+1\times T-max(p,s)\) VARX lag matrix
'Y'adjusted \(k\times T-max(p,s)\) endogenous series
Arguments
Y
a \(T \times k\) matrix of endogenous (modeled) series
X
a \(T \times m\) matrix of exogenous (unmodeled) series (default NULL)
p
Endogenous Lag order
s
exogenous lag order (default zero)
oos
indicator as to whether the data should be constructed for out of sample prediction (i.e. last available entries of Y as final lags default FALSE)
contemp
indicator as to whether to use contemporaneous exogenous predictors (for example, if exogenous series become available before exogenous default FALSE).
Details
This function is not required unless you which to design your own cross validation routine.
References
See page 15 of Lutkepohl, 'A New Introduction to Multiple Time Series Analysis