View source: R/BigVARSupportFunctions.R
VarptoVar1MC | R Documentation |
Converts a VAR coefficient matrix of order p to multiple companion form
VarptoVar1MC(B, p, k)
B |
a k \times kp coefficient matrix |
p |
Lag order |
k |
Number of Series |
Returns a kp \times kp coefficient matrix representing all coefficient matrices contained in Ai as a VAR(1).
See page 15 of Lutkepohl, 'A New Introduction to Multiple Time Series Analysis'
MultVarSim
k=3;p=6 B=matrix(0,nrow=k,ncol=p*k) A1<- matrix(c(.4,-.02,.01,-.02,.3,.02,.01,.04,.3),ncol=3,nrow=3) A2 <- matrix(c(.2,0,0,0,.3,0,0,0,.13),ncol=3,nrow=3) B[,1:k]=A1 B[,(4*k+1):(5*k)]=A2 A <- VarptoVar1MC(B,p,k)
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