Acoef_sh: Coefficient matrices of endogenous variables

In VARshrink: Shrinkage Estimation Methods for Vector Autoregressive Models

Description

Returns the estimated coefficient matrices of the lagged endogenous variables of a VAR(p) model. This is a modification of vars::Acoef() for the class "varshrinkest".

Usage

Acoef_sh(x)

Arguments

x	An object of class "varshrinkeset", generated by VARshrink().

Details

Consider VAR(p) model:

y_t = A_1 y_{t-1} + ... + A_p y_{t-p} + C d_t + e_t .

The function returns the K-by-K matrices A_1, ..., A_p as a list object.

Value

A list object with K-by-K VAR coefficient matrices A_1, A_2, ..., A_p

See Also

Acoef

Examples

data(Canada, package = "vars")
y <- diff(Canada)
estim <- VARshrink(y, p = 2, type = "const", method = "ridge")
Acoef_sh(estim)

VARshrink documentation built on Oct. 9, 2019, 5:06 p.m.