VAR objects can be constructed as plain VARs or simple panel VARs (with fixed effect), and estimated without or with prior dummy observations (quasi-bayesian VARs). VAR objects are reduced-form models; they are also the point of departure for identifying structural VARs (SVAR
objects).
VAR methods:
VAR
- Create new empty reduced-form VAR object.addparam
- Add VAR parameters to a database (struct).comment
- Get or set user comments in an IRIS object.companion
- Matrices of first-order companion VAR.eig
- Eigenvalues of a VAR process.fprintf
- Write VAR model as formatted model code to text file.get
- Query VAR object properties.iscompatible
- True if two VAR objects can occur together on the LHS and RHS in an assignment.isexplosive
- True if any eigenvalue is outside unit circle.ispanel
- True for panel VAR objects.isstationary
- True if all eigenvalues are within unit circle.length
- Number of alternative parameterisations in VAR object.mean
- Mean of VAR process.nfitted
- Number of data points fitted in VAR estimation.rngcmp
- True if two VAR objects have been estimated using the same dates.sprintf
- Print VAR model as formatted model code.sspace
- Quasi-triangular state-space representation of VAR.userdata
- Get or set user data in an IRIS object.group
- Retrieve VAR object from panel VAR for specified group of data.subsasgn
- Subscripted assignment for VAR objects.subsref
- Subscripted reference for VAR objects.ferf
- Forecast error response function.filter
- Filter data using a VAR model.forecast
- Unconditional or conditional VAR forecasts.instrument
- Define forecast conditioning instruments in VAR models.resample
- Resample from a VAR object.simulate
- Simulate VAR model.assign
- Manually assign system matrices to VAR object.alter
- Expand or reduce the number of alternative parameterisations within a VAR object.backward
- Backward VAR process.demean
- Remove constant and the effect of exogenous inputs from VAR object.horzcat
- Combine two compatible VAR objects in one object with multiple parameterisations.integrate
- Integrate VAR process and data associated with it.xasymptote
- Set or get asymptotic assumptions for exogenous inputs.acf
- Autocovariance and autocorrelation functions for VAR variables.fmse
- Forecast mean square error matrices.vma
- Matrices describing the VMA representation of a VAR process.xsf
- Power spectrum and spectral density functions for VAR variables.estimate
- Estimate a reduced-form VAR or BVAR.infocrit
- Populate information criteria for a parameterised VAR.lrtest
- Likelihood ratio test for VAR models.portest
- Portmanteau test for autocorrelation in VAR residuals.schur
- Compute and store triangular representation of VAR.help VAR
help VAR/function_name