Vector autoregressive models

General Usage
1

Hello!

What’s currently the situation on fitting and making predictions from vector autoregressive models?

Here’s the related packages I’ve found, but they either are not vector models, or look like scratch code:

I think the last one is the closest, but seems geared to predicting variance, not means.

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This file (which is used in some lecture style notebooks in the same repository) contains some useful stuff:

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Thank you!

Just to be sure, on that file function VAR1Forecast returns (Ex, Varx).

Does this stand for forecast of expected mean and expected variance?

As a separate comment, it seems a shame that this isn’t in a package.

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Ex is the forecast, and Varx the variance of the forecast error.

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