long_run_var {dateutils}

Long Run Variance of a VAR

Description

Find the long run variance of a VAR using the transition equation 'A' and shocks to observations 'Q'

Usage

long_run_var(A, Q, m, p)

Arguments

A

Transition matrix from a VAR model in companion form

Q

Covariance of shocks

m

Number of series in the VAR

p

Number of lags in the VAR

Value

The variance matrix

Examples

long_run_var(comp_form(matrix(c(.2,.1,.1,.2,0,0,0,0), 2, 4)),
             matrix(c(1,0,0,0,0,1,0,0,0,0,0,0,0,0,0,0),4,4),2, 2)