How to estimate Vector Auto-regressive Model
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Hi All,
I want to estimate Vector Autoregressive model for company and market returns using OLS regression.
Any leads will be highly appreciated.
Regards
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Chidvi Modala
2019년 8월 27일
estimate performs parameter estimation for Vector Autoregression Models. It finds maximum likelihood estimates of the parameters present in the model. You can set the maximum number of iterations with the ‘MaxIterations’ name-value pair argument of estimate, which has a default value of 1000. For ordinary least-squares (OLS) estimates of the parameters, set 'MaxIterations' to 1.
For definitions of these terms and other model definitions, you can refer to Types of Multivariate Time Series Models.
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