Bcoef {vars} | R Documentation |
Coefficient matrix of an estimated VAR(p)
Description
Returns the estimated coefficients of a VAR(p) as a matrix.
Usage
Bcoef(x)
Arguments
x |
An object of class ‘ |
Details
Given an estimated VAR of the form:
\hat{\bold{y}}_t = \hat{A}_1 \bold{y}_{t-1} + \ldots +
\hat{A}_p \bold{y}_{t-p} + \hat{C}D_t
the function returns the matrices (\hat{A}_1 | \ldots |
\hat{A}_p | \hat{C})
as a matrix object.
Value
A matrix holding the estimated coefficients of a VAR.
Note
This function was named B
in earlier versions of package
vars; it is now deprecated. See vars-deprecated
too.
Author(s)
Bernhard Pfaff
See Also
Examples
data(Canada)
var.2c <- VAR(Canada, p = 2, type = "const")
Bcoef(var.2c)
[Package vars version 1.6-1 Index]