(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
Number of AR lags for the output specification structure.
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 is
vgxar uses the maximum lags of the
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