estSSfromVARX {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

        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

### Details

This function uses the functions estVARXls and toSS.

### Value

A state space model in an object of class TSestModel.

### References

Gilbert, P. D. (1993) State space and ARMA models: An overview of the equivalence. Working paper 93-4, Bank of Canada. Available at <www.bank-banque-canada.ca/pgilbert>

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`

### Examples

        if(is.R()) data("eg1.DSE.data.diff", package="dse1")
        model <-estSSfromVARX(eg1.DSE.data.diff)

[Package Contents]