Hello,
Does anyone know about robust estimation of vector autoregressive models
(VAR(p)) in R? Or in Matlab?
Currently I am using the function ar().
The problem is, that the variances of my data change a lot with time, and we
also have some outliers in the data. That is why, I presume, that we would
get quite different results when estimating robustly.
I would be very grateful if someone could help!
Thanks a lot!
Irene.
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