Fitter Function for the Augmented Regression Method — arm_fit • ivx

Basic function called by arm. Should only be used directly by experienced users.

Usage

arm_fit(y, x, iter = 10, ...)

Arguments

y: vector of observations of length n, or a matrix with n rows.
x: design matrix of dimension n * p.
iter: maximum number of bias-correction iterations (K = 10 in the paper); iteration stops earlier if the corrected VAR becomes non-stationary.
...: currently unused.

Examples

arm_fit(kms$Ret, as.matrix(kms$DP))$tstat
#>        x1 
#> 0.6507685