ar2ma: ar2ma

In FAVAR: Bayesian Analysis of a FAVAR Model

ar2ma

Description

Convert auto regression (AR) coefficients to moving average (MA) coefficients

Usage

ar2ma(ar, p, n = 11, CharValue = TRUE)

Arguments

ar	AR coefficients matrix which is k x kp dimension, k is numbers of variables, and no constant.
p	lags orders of AR.
n	lags orders of MA generated.
CharValue	logical value, whether compute character value.

Details

the formula is,

A_s = F_1 * A_{s-1} + F_2 * A_{s-2} + ... + F_p * A_{s-p}

where A is MA coefficients, F is AR coefficients.

Value

a matrix which is MA coefficients.

Examples

require(vars)
data(Canada)
ar <- Bcoef(VAR(Canada, p = 2, type = "none"))
ar
ar2ma(ar, p = 2)

FAVAR documentation built on May 28, 2022, 1:20 a.m.