VarptoVar1MC {BigVAR} | R Documentation |
Converts a VAR coefficient matrix of order p to multiple companion form
Description
Converts a VAR coefficient matrix of order p to multiple companion form
Usage
VarptoVar1MC(B, p, k)
Arguments
B |
a |
p |
Lag order |
k |
Number of Series |
Value
Returns a kp \times kp
coefficient matrix representing all coefficient matrices contained in Ai as a VAR(1).
References
See page 15 of Lutkepohl, 'A New Introduction to Multiple Time Series Analysis'
See Also
Examples
k=3;p=6
B=matrix(0,nrow=k,ncol=p*k)
A1<- matrix(c(.4,-.02,.01,-.02,.3,.02,.01,.04,.3),ncol=3,nrow=3)
A2 <- matrix(c(.2,0,0,0,.3,0,0,0,.13),ncol=3,nrow=3)
B[,1:k]=A1
B[,(4*k+1):(5*k)]=A2
A <- VarptoVar1MC(B,p,k)
[Package BigVAR version 1.1.2 Index]