fitted.nlVar {tsDyn} | R Documentation |
Returns the fitted values of the model, either as computed in the model, or back to the original series level.
## S3 method for class 'nlVar'
fitted(object, level = c("model", "original"), ...)
object |
|
level |
How to return the fitted values. See below. |
... |
Currently not used. |
In case of a VAR in differences, in ADF specification, or a VECM, the fitted
values are actually in differences. With the option level="original"
,
the function returns the series in the original level.
For VAR in levels, the two arguments are evidently the same and hence it is not taken into account, returning a warning.
A matrix.
Matthieu Stigler
## estimate models
data(barry)
ve <- VECM(barry, lag=2)
va <- lineVar(barry, lag=1)
va_diff <- lineVar(barry, lag=1, I="diff")
va_ADF <- lineVar(barry, lag=1, I="ADF")
## get fitted values:
tail(fitted(ve))
tail(fitted(ve, level="original"))
tail(fitted(va))
tail(fitted(object=va, level="original"))
tail(fitted(va_diff))
tail(fitted(object=va_diff, level="original"))
tail(fitted(va_ADF))
tail(fitted(object=va_ADF, level="original"))