VHARtoVMA {bvhar}

Convert VHAR to VMA(infinite)

Description

Convert VHAR process to infinite vector MA process

Usage

VHARtoVMA(object, lag_max)

Arguments

object

vharlse object

lag_max

Maximum lag for VMA

Details

Let VAR(p) be stable and let VAR(p) be Y_0 = X_0 B + Z

VHAR is VAR(22) with

Y_0 = X_1 B + Z = ((X_0 \tilde{T}^T)) \Phi + Z

Observe that

B = \tilde{T}^T \Phi

Value

VMA coefficient of k(lag-max + 1) x k dimension

References

Lütkepohl, H. (2007). New Introduction to Multiple Time Series Analysis. Springer Publishing.