Build X matrix from supplied data
bvar_build_X(Y_in, Z_in = NULL, constant = TRUE, p = 1)
| Y_in | endogeneous variables [T_in x m] |
|---|---|
| Z_in | optional exogeneous variables [T_in x ...] |
| constant | whether the constant should be included, default is TRUE |
| p | number of lags |
X [T x k] matrix of right hand side regressors: endogeneous and exogeneous variables, T = T_in - p, k = m * p + d, d is the number of exogeneous variables including constant if present X = [endo | const | other exo]
Build X matrix from supplied data
data(Yraw) X <- bvar_build_X(Yraw, constant = TRUE, p = 4)