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).
warn Logical indicating if warnings should be printed (T) or suppressed (F).
... 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

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

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)
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