Fits an autoregressive distributed lag model for the horizon-h
target, with p1 lags of y and p2 lags of additional
regressors z (e.g., extracted factors).
Usage
estimate_ardl_multi(y, z, h, p)
Arguments
- y
Numeric vector of the target variable.
- z
Numeric matrix of additional regressors (e.g., factor estimates).
- h
Positive integer; forecast horizon.
- p
Integer vector of length 2: c(p1, p2) where p1 is
the number of AR lags and p2 the number of z lags.
Value
Coefficient vector (intercept, AR lags, then z lags).
Examples
y <- rnorm(200)
z <- matrix(rnorm(200 * 3), 200, 3)
coefs <- estimate_ardl_multi(y, z, h = 1, p = c(1, 1))
coefs
#> [,1]
#> [1,] 0.09589635
#> [2,] -0.09184243
#> [3,] -0.03458890
#> [4,] 0.07320798
#> [5,] 0.13344224
