VARrep: VAR representation

In tsDyn: Nonlinear Time Series Models with Regime Switching

VAR representation

Description

Show the VAR representation of a VECM

Usage

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

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 Oct. 31, 2024, 5:08 p.m.