est.SS.from.VARX {dse1} | R Documentation |
Estimate a VAR TSmodel with (optionally) an exogenous input and convert to state space.
est.SS.from.VARX(data, warn=T, ...)
data |
An object with the structure of an object of class TSdata (see TSdata). |
... |
See arguements to est.VARX.ls |
This function uses the functions est.VARX.ls and to.SS.
A state space model in an object of class TSestModel.
P.D.Gilbert (1993) State Space and ARMA models: An overview of estimation and reduction.
to.SS
est.SS.Mittnik
bft
est.VARX.ls
if(is.R()) data("eg1.DSE.data.diff", package="dse1") model <-est.SS.from.VARX(eg1.DSE.data.diff)