VarptoVar1MC: Converts a VAR coefficient matrix of order p to multiple...

In BigVAR: Dimension Reduction Methods for Multivariate Time Series

Converts a VAR coefficient matrix of order p to multiple companion form

Description

Converts a VAR coefficient matrix of order p to multiple companion form

Usage

VarptoVar1MC(B, p, k)

Arguments

B	a k \times kp coefficient matrix
p	Lag order
k	Number of Series

Value

Returns a kp \times kp coefficient matrix representing all coefficient matrices contained in Ai as a VAR(1).

References

See page 15 of Lutkepohl, 'A New Introduction to Multiple Time Series Analysis'

See Also

MultVarSim

Examples

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)

BigVAR documentation built on Jan. 9, 2023, 5:08 p.m.