ar2ma {FAVAR}

ar2ma

Description

Convert auto regression (AR) coefficients to moving average (MA) coefficients

Usage

ar2ma(ar, p, n = 11, CharValue = TRUE)

Arguments

ar

AR coefficients matrix which is k x kp dimension, k is numbers of variables, and no constant.

p

lags orders of AR.

n

lags orders of MA generated.

CharValue

logical value, whether compute character value.

Details

the formula is,

A_s = F_1 * A_{s-1} + F_2 * A_{s-2} + ... + F_p * A_{s-p}

where A is MA coefficients, F is AR coefficients.

Value

a matrix which is MA coefficients.

Examples

require(vars)
data(Canada)
ar <- Bcoef(VAR(Canada, p = 2, type = "none"))
ar
ar2ma(ar, p = 2)