Does varm use the current or lagged X

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Martijn Riemers 2020-6-20

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回答： Pratyush Roy 2021-2-17

I'm trying to fit a yield dataset by means of a VARX model with the following formulation:

where

is a vector of yields of different maturities and

is a vector of factors from a macroeconomic dataset. Looking at the `varm` documentation leads me to believe only current values of

will be used for estimation of

.

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Answer 1

Pratyush Roy 2021-2-17

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Hi Martijn,

For an autoregressive model, the current output is dependent on past outputs and the present input. For the given equation, the present output depends on past output as well as past input.

As a workaround, the VARMA model can be used to model dynamical systems as described in the question. The link here shows functionalities like arma2ar which might be helpful to realise such models.

Hope this helps!