(To be removed) Convert VARMA model to VAR model
vgxar has been removed. Use
SpecAR = vgxar(Spec) SpecAR = vgxar(Spec,nAR,ARlag,Cutoff)
vgxar converts a VARMA model into a pure
vector autoregressive (VAR) model. This function
works only for VARMA models and does not handle
exogenous variables (VARMAX models).
A multivariate time series
specification structure for an
n-dimensional VARMA time series
process, as created by
Number of AR lags for the output
A positive integer vector of specific
AR lags for the output specification structure.
The cutoff for the infinity norm
below which trailing lags are removed. The default
vgxar uses the
maximum lags of the
MA lags of the input
If a large number of lags is needed to form a pure VAR representation (with unit roots close to 1), a large number of initial values is also needed for propagation.
A transformed multivariate time
series specification structure that consists of a
pure vector autoregressive (VAR) model with