Fit Vector Autoregressive Model using Mplus

This function estimates the parameters of a VAR model using Mplus.

Usage

FitVARMplus(data, p = 1, mplus_bin, iter = 5000L)

Arguments

data

Numeric matrix. The time series data with dimensions t by k, where t is the number of observations and k is the number of variables.

p

Positive integer. Number of lags.

mplus_bin

Character string. Path to the Mplus binary.

iter

Positive integer. Maximum number of iterations for each MCMC chain.

See also

Other Fitting Autoregressive Model Functions: FitMLVARDynr(), FitMLVARMplus(), FitVARDynr(), FitVARLassoSearch(), FitVARLasso(), FitVAROLS(), LambdaSeq(), ModelVARP1Dynr(), ModelVARP2Dynr(), OrigScale(), PBootVARExoLasso(), PBootVARExoOLS(), PBootVARLasso(), PBootVAROLS(), RBootVARExoLasso(), RBootVARExoOLS(), RBootVARLasso(), RBootVAROLS(), SearchVARLasso(), StdMat()

Author

Ivan Jacob Agaloos Pesigan

Examples

if (FALSE) {
FitVARMplus(data = dat_p1, p = 1, mplus_bin = "mplus")
FitVARMplus(data = dat_p2, p = 2, mplus_bin = "mplus")
}