VARrep: VAR representation

Description Usage Arguments Value Author(s) References Examples

View source: R/vec2var.tsDyn.R

Description

Show the VAR representation of a VECM

Usage

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VARrep(object, ...)

## S3 method for class 'VECM'
VARrep(object, ...)

## S3 method for class 'VAR'
VARrep(object, ...)

Arguments

object

An object of class ‘VECM’ created by VECM, or of class ‘VAR’ created by lineVar

...

Currently not used

Value

A matrix containing the parameters of the VECM under their VAR representation.

Author(s)

Matthieu Stigler

References

Hamilton (1994) Time Series Analysis, Princeton University Press

Examples

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data(barry)

# VECM model:
mod_vecm <- VECM(barry, lag=2, estim="ML")
VARrep(mod_vecm)

# VAR model:
mod_var <- lineVar(barry, lag=2, I="diff")
VARrep(mod_var)

tsDyn documentation built on June 4, 2018, 1:04 a.m.