Phi.varshrinkest: Coefficient matrices of the MA represention

In VARshrink: Shrinkage Estimation Methods for Vector Autoregressive Models

Coefficient matrices of the MA represention

Description

Returns the estimated coefficient matrices of the moving average representation of a stable VAR(p).

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.

Details

This is a modification of vars::Phi.varest() for the class "varshrinkest", preventing redundant copying of data matrix objects.

Value

An array with dimension K \times K \times (nstep + 1) holding the estimated coefficients of the moving average representation. The first slice of the array is the starting value, i.e., \mathbf{\Phi}_0.

See Also

Phi

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