duplicateMatrix {VARcpDetectOnline} | R Documentation |
Construct Lagged Design Matrix for VAR
Description
Duplicates the original data matrix to create a lagged predictor matrix for VAR estimation.
Usage
duplicateMatrix(data, p)
Arguments
data |
A numeric matrix with time series data (observations in rows). |
p |
Integer. The order of the VAR model (number of lags). |
Value
A numeric matrix with duplicated columns corresponding to lagged observations.
[Package VARcpDetectOnline version 0.2.0 Index]