Estimate a state space TSmodel using VAR estimation
Estimate a VAR TSmodel with (optionally) an exogenous input and convert to state space.
estSSfromVARX(data, warn=TRUE, ...)
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 |
This function uses the functions estVARXls and toSS.
A state space model in an object of class TSestModel.
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.
data("eg1.DSE.data.diff", package="dse")
model <-estSSfromVARX(eg1.DSE.data.diff)Please choose more modern alternatives, such as Google Chrome or Mozilla Firefox.