est.SS.from.VARX {dse1}R Documentation

Estimate a state space TSmodel using VAR estimation

Description

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

Usage

    est.SS.from.VARX(data, warn=T, ...)

Arguments

data An object with the structure of an object of class TSdata (see TSdata).
... See arguements to est.VARX.ls

Details

This function uses the functions est.VARX.ls and to.SS.

Value

A state space model in an object of class TSestModel.

References

P.D.Gilbert (1993) State Space and ARMA models: An overview of estimation and reduction.

See Also

to.SS est.SS.Mittnik bft est.VARX.ls

Examples

    if(is.R()) data("eg1.DSE.data.diff", package="dse1")
    model <-est.SS.from.VARX(eg1.DSE.data.diff)