VARtoVMA {bvhar} | R Documentation |
Convert VAR to VMA(infinite)
Description
Convert VAR process to infinite vector MA process
Usage
VARtoVMA(object, lag_max)
Arguments
object |
varlse object
|
lag_max |
Maximum lag for VMA
|
Details
Let VAR(p) be stable.
Yt=c+∑j=0WjZt−j
For VAR coefficient B1,B2,…,Bp
,
I=(W0+W1L+W2L2+⋯+)(I−B1L−B2L2−⋯−BpLp)
Recursively,
W0=I
W1=W0B1(W1T=B1TW0T)
W2=W1B1+W0B2(W2T=B1TW1T+B2TW0T)
Wj=∑j=1kWk−jBj(WjT=∑j=1kBjTWk−jT)
Value
VMA coefficient of k(lag-max + 1) x k dimension
References
Lütkepohl, H. (2007). New Introduction to Multiple Time Series Analysis. Springer Publishing.
[Package
bvhar version 2.0.1
Index]