estSSfromVARX              package:dse1              R Documentation

_E_s_t_i_m_a_t_e _a _s_t_a_t_e _s_p_a_c_e _T_S_m_o_d_e_l _u_s_i_n_g _V_A_R _e_s_t_i_m_a_t_i_o_n

_D_e_s_c_r_i_p_t_i_o_n:

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

_U_s_a_g_e:

         estSSfromVARX(data, warn=TRUE, ...)

_A_r_g_u_m_e_n_t_s:

    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

_D_e_t_a_i_l_s:

     This function uses the functions estVARXls and toSS.

_V_a_l_u_e:

     A state space model in an object of class TSestModel.

_R_e_f_e_r_e_n_c_e_s:

     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.

_S_e_e _A_l_s_o:

     'toSS' 'estSSMittnik' 'bft' 'estVARXls'

_E_x_a_m_p_l_e_s:

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

