Adding exogenous inputs

[mgorjis]

Hi,

Is there any way to fit a sparse autoregressive with exogenous inputs using Sparsevar package?

I could not find anything about it in the help.

Thank you

[svazzole]

Hi,
at the moment it is not possible to estimate VARX models (if I understood your question correctly). I believe it would be nice to add these models so I will try to work on it in the next days.

[svazzole]

Hi,
I've added the support for exogenous inputs. There are 2 new functions: simulateVARX and fitVARX that simulate and estimate a VARX model. I don't know if my approach is correct (I fit a bigger VAR model including the exogenous variables) so you should use these two functions with caution.

SV

[mgorjis]

Thank you very much for the revision. I have written a piece of code myself in R based Lütkepohl book page 395, and have tested the accuracy. Let me compare the results of your code. I will let you know about that.

[fhdnkn]

I need help me for Sumulation VAR model please

[svazzole]

Hi. Coud you be a little more specific?