est.SS.from.VARX
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, ...)
Required Arguments
- data
-
An object with the structure of an object of class TSdata (see TSdata).
Optional Arguments
- ...
-
See arguements to est.VARX.ls
Value
A state space model in an object of class TSestModel.
Details
This function uses the functions est.VARX.ls and to.SS.
REFERENCES
P.D.Gilbert (1992) State Space and ARMA models: An overview of
estimation and reduction.
See Also
Examples
model <-est.SS.from.VARX(data)
return to Table of Contents