Wold {ConnectednessApproach}

Wold representation theorem

Description

Transform VAR to VMA coefficients

Usage

Wold(x, nfore = 10)

Arguments

x

VAR coefficients

nfore

H-step ahead forecast horizon

Value

Get VMA coefficients

Author(s)

David Gabauer

Examples

data("dy2012")
fit = VAR(dy2012, configuration=list(nlag=1))
wold = Wold(fit$B, nfore=10)