tvAcoef {tvReg} | R Documentation |
Time-Varying Coefficient Arrays of the Lagged Endogenous Variables of a TVVAR (no intercept).
Description
Returns the estimated coefficients of the lagged endogenous variables as an array. Given an estimated time varying VAR of the form:
\hat{\bold{y}}_t = \hat{A}_{1t} \bold{y}_{t-1} + \ldots + \hat{A}_{pt} \bold{y}_{t-p} + \hat{C}_tD_t
the function returns a list for each equation with \hat{A}_{1t} | \ldots | \hat{A}_{pt} | \hat{C}_t)
set of arrays
Usage
tvAcoef(x)
Arguments
x |
An object of class |
Value
A list object with coefficient arrays for the lagged endogenous variables.
Examples
data(Canada, package="vars")
var.2p <- vars::VAR(Canada, p = 2, type = "const")
tvvar.2p <- tvVAR(Canada, p = 2, type = "const")
A <- vars::Acoef(var.2p)
tvA <- tvAcoef(tvvar.2p)
[Package tvReg version 0.5.9 Index]