Documentation

Estimation

Fit multivariate models to data

Functions

egcitest Engle-Granger cointegration test
jcitest Johansen cointegration test
jcontest Johansen constraint test
vartovec Vector autoregression (VAR) to vector error-correction model (VEC)
vectovar Vector error-correction (VEC) to vector autoregression (VAR)
vgxar Convert VARMA model to VAR model
vgxma Convert VARMA model to VMA model
vgxvarx Estimate VARX model parameters
vgxdisp Display VARMAX model parameters and statistics
vgxqual Test VARMAX model for stability/invertibility
vgxplot Plot VARMAX model responses
vgxinfer Infer VARMAX model innovations
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