Phi.varshrinkest: Coefficient matrices of the MA represention

In VARshrink: Shrinkage Estimation Methods for Vector Autoregressive Models

Description

Returns the estimated coefficient matrices of the moving average representation of a stable VAR(p), of an SVAR as an array or a converted VECM to VAR. This is a modification of vars::Phi() for the class "varshrinkest".

Usage

## S3 method for class 'varshrinkest'
Phi(x, nstep = 10, ...)

Arguments

x	An object of class 'varshrinkest', generated by VARshrink().
nstep	An integer specifying the number of moving error coefficient matrices to be calculated.
...	Currently not used.

See Also

Phi

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