Bcoef_sh: Coefficient matrix of an estimated VAR(p)

In VARshrink: Shrinkage Estimation Methods for Vector Autoregressive Models

Coefficient matrix of an estimated VAR(p)

Description

Returns the estimated coefficients of a VAR(p) model as a matrix.

Usage

Bcoef_sh(x)

Arguments

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

Details

Consider VAR(p) model:

\mathbf{y}_t = \mathbf{A}_1 \mathbf{y}_{t-1} + ... + \mathbf{A}_p \mathbf{y}_{t-p} + \mathbf{C} \mathbf{d}_t + \mathbf{e}_t.

The function returns the concatenated matrix (\mathbf{A}_1, ..., \mathbf{A}_p, \mathbf{C}) as a matrix object.

This function modifies vars::Bcoef() for the class "varshrinkest", preventing redundant copying of data matrix objects.

Value

A matrix holding the estimated coefficients of a VAR.

See Also

Bcoef

Examples

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

VARshrink documentation built on Jan. 10, 2026, 1:06 a.m.