VARpsi {MTS}

VAR Psi-weights

Description

Computes the psi-weight matrices of a VAR model

Usage

VARpsi(Phi, lag = 5)

Arguments

Phi

A k-by-kp matrix of VAR coefficients in the form Phi=[Phi1, Phi2, ..., Phip]

lag

Number of psi-weight lags

Value

Psi-weights of a VAR model

Author(s)

Ruey S. Tsay

References

Tsay (2014, Chapter 2). Multivariate Time Series Analysis with R and Financial Applications. John Wiley. Hoboken, NJ.

Examples

p1=matrix(c(0.2,-0.6,0.3,1.1),2,2)
m1=VARpsi(p1,4)
names(m1)