VARMAX model in r | Fit VARMA model including exogenous variable

Machine Learning and Modeling
, ,
1

Working on VARX model and I want to include MA term here but I have not found any package in R to build VARMAX model. MTS package can be used to fit VARMA model but I want to include exogenous variables while fitting the model.

is there any R package available for VARMAX modeling? if not then any alternative for this?

Anyone who can advise what to do here. Can R team create a package for it?

2

This topic was automatically closed 21 days after the last reply. New replies are no longer allowed.

If you have a query related to it or one of the replies, start a new topic and refer back with a link.