ec.companion {cif}

computes companion matrix of the VAR

Description

builds the companion matrix of the VAR

Usage

ec.companion(est, p = 2, nlag = 4)

Arguments

est

is the output of ec.EG1.R

p

(positive integer) is the dimension of the VAR

nlag

(positive integer) is the number of lags in the VAR

Value

mA companion matrix

Author(s)

P. Berta, P. Paruolo, S. Verzillo, PG. Lovaglio

References

Berta et al. 2020