Description Usage Arguments Details Value See Also Examples
Returns the estimated coefficients of a VAR(p) model as a matrix. This is a modification of vars::Bcoef() for the class "varshrinkest".
1 | Bcoef_sh(x)
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x |
An object of class "varshrinkest" generated by VARshrink(). |
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 concatenated matrix (A_1, ..., A_p, C) as a matrix object.
A matrix holding the estimated coefficients of a VAR.
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