Comments (5)
Hi,
at the moment it is not possible to estimate VARX models (if I understood your question correctly). I believe it would be nice to add these models so I will try to work on it in the next days.
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Hi,
I've added the support for exogenous inputs. There are 2 new functions: simulateVARX and fitVARX that simulate and estimate a VARX model. I don't know if my approach is correct (I fit a bigger VAR model including the exogenous variables) so you should use these two functions with caution.
SV
from sparsevar.
Thank you very much for the revision. I have written a piece of code myself in R based Lütkepohl book page 395, and have tested the accuracy. Let me compare the results of your code. I will let you know about that.
from sparsevar.
I need help me for Sumulation VAR model please
from sparsevar.
Hi. Coud you be a little more specific?
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