PSIwgt {MTS}

Psi Wights Matrices

Description

Computes the psi-weight matrices of a VARMA model

Usage

PSIwgt(Phi = NULL, Theta = NULL, lag = 12, plot = TRUE, output = FALSE)

Arguments

Phi

A k-by-kp matrix of VAR coefficient matrix. Phi=[Phi1, Phi1, ..., Phip]

Theta

A k-by-kq matrix of VMA coefficient matrix. Theta=[Theta1, Theta2, ..., Thetaq]

lag

The number of psi-weight matrices to be computed. Deafult is 12.

plot

A logical switch to control plotting of the psi-weights.

output

A logical switch to control the output.

Value

psi.weight

Psi-weight matrices

irf

Impulse response cofficient matrices

Author(s)

Ruey S. Tsay

References

Tsay (2014, Chapter 3). Multivariate Time Series Analysis with R and Financial Applications. John Wiley. Hoboken, NJ.

Examples

phi=matrix(c(0.2,-0.6,0.3,1.1),2,2)
theta=matrix(c(-0.5,0.2,0.0,-0.6),2,2)
m1=PSIwgt(Phi=phi,Theta=theta)