Class and Description |
---|
VARMAModel
A multivariate ARMA model, Xt, takes this form.
|
VARMAXModel
The VARMAX model (ARMA model with eXogenous inputs) is a generalization of the ARMA model by
incorporating exogenous variables.
|
Class and Description |
---|
VARMAModel
A multivariate ARMA model, Xt, takes this form.
|
VARMAXModel
The VARMAX model (ARMA model with eXogenous inputs) is a generalization of the ARMA model by
incorporating exogenous variables.
|
VARModel
This class represents a VAR model.
|
VARXModel
A VARX (Vector AutoRegressive model with eXogeneous inputs) model, Xt, takes
this form.
|
VECM
A Vector Error Correction Model (VECM(p)) has one of the following specifications:
Transitory:
\[
\Delta Y_t = \mu + \Pi Y_{t-1} + \sum \left ( \Gamma_i Y_{t-1} \right ) + \Psi D_t + \epsilon_t, i = 1, 2, ..., p-1
\]
or
Long-run:
\[
\Delta Y_t = \mu + \Pi Y_{t-p} + \sum \left ( \Gamma_i Y_{t-1} \right ) + \Psi D_t + \epsilon_t, i = 1, 2, ..., p-1
\]
Yt, μ and εt are n-dimensional vectors.
|
VECMLongrun
The long-run Vector Error Correction Model (VECM(p)) takes this form.
|
VECMTransitory
A transitory Vector Error Correction Model (VECM(p)) takes this form.
|
VMAModel
This class represents a multivariate MA model.
|
Class and Description |
---|
VARMAModel
A multivariate ARMA model, Xt, takes this form.
|
VARModel
This class represents a VAR model.
|
Copyright © 2010-2020 NM FinTech Ltd.. All Rights Reserved.