VARpsi: VAR Psi-weights

In MTS: All-Purpose Toolkit for Analyzing Multivariate Time Series (MTS) and Estimating Multivariate Volatility Models

VAR Psi-weights

Description

Computes the psi-weight matrices of a VAR model

Usage

VARpsi(Phi, lag = 5)

Arguments

Phi	A k-by-kp matrix of VAR coefficients in the form Phi=[Phi1, Phi2, ..., Phip]
lag	Number of psi-weight lags

Value

Psi-weights of a VAR model

Author(s)

Ruey S. Tsay

References

Tsay (2014, Chapter 2). Multivariate Time Series Analysis with R and Financial Applications. John Wiley. Hoboken, NJ.

Examples

p1=matrix(c(0.2,-0.6,0.3,1.1),2,2)
m1=VARpsi(p1,4)
names(m1)

MTS documentation built on April 11, 2022, 5:07 p.m.