A: Coefficient matrices of the lagged endogenous variables

In vars: VAR Modelling

Coefficient matrices of the lagged endogenous variables

Description

Returns the estimated coefficient matrices of the lagged endogenous variables as a list of matrices each with dimension (K \times K).

Usage

Acoef(x)

Arguments

x	An object of class ‘varest’, generated by VAR().

Details

Given an estimated VAR(p) of the form:

\hat{\bold{y}}_t = \hat{A}_1 \bold{y}_{t-1} + \ldots + \hat{A}_p \bold{y}_{t-p} + \hat{C}D_t

the function returns the matrices (\hat{A}_1, \ldots, \hat{A}_p) each with dimension (K \times K) as a list object.

Value

A list object with coefficient matrices for the lagged endogenous variables.

Note

This function was named A in earlier versions of package vars; it is now deprecated. See vars-deprecated too.

Author(s)

Bernhard Pfaff

See Also

Bcoef, VAR

Examples

data(Canada)
var.2c <- VAR(Canada, p = 2, type = "const")
Acoef(var.2c)

vars documentation built on March 31, 2023, 10:30 p.m.