https://github.com/cran/dse
Tip revision: ab08892d097753cdf4449136af92b9e9fb89871c authored by Paul Gilbert on 01 December 2009, 00:00:00 UTC
version 2009.12-1
version 2009.12-1
Tip revision: ab08892
estSSfromVARX.Rd
\name{estSSfromVARX}
\alias{estSSfromVARX}
\title{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{
\item{data}{
An object with the structure of an object of class TSdata (see TSdata).}
\item{warn}{Logical indicating if warnings should be printed (TRUE) or
suppressed (FALSE).}
\item{...}{See arguements to estVARXls}}
\value{A state space model in an object of class TSestModel.}
\details{This function uses the functions estVARXls and toSS.}
\references{
Gilbert, P. D. (1993) State space and ARMA models: An overview of
the equivalence. Working paper 93-4, Bank of Canada. Available at
\url{www.bank-banque-canada.ca/pgilbert}.
Gilbert, P. D. (1995) Combining VAR Estimation and State Space
Model Reduction for Simple Good Predictions. \emph{J. of Forecasting:
Special Issue on VAR Modelling}. 14:229-250.
}
\seealso{
\code{\link{toSS}}
\code{\link{estSSMittnik}}
\code{\link{bft}}
\code{\link{estVARXls}}
\code{\link{estMaxLik}}
}
\examples{
data("eg1.DSE.data.diff", package="dse")
model <-estSSfromVARX(eg1.DSE.data.diff)
}
\concept{DSE}
\keyword{ts}