B: Coefficient matrix of an estimated VAR(p)

Description Usage Arguments Details Value Note Author(s) See Also Examples

View source: R/B.R

Description

Returns the estimated coefficients of a VAR(p) as a matrix.

Usage

1
Bcoef(x)

Arguments

x

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

Details

Given an estimated VAR of the form:

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

the function returns the matrices (\hat{A}_1 | … | \hat{A}_p | \hat{C}) as a matrix object.

Value

A matrix holding the estimated coefficients of a VAR.

Note

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

Author(s)

Bernhard Pfaff

See Also

Acoef, VAR

Examples

1
2
3
data(Canada)
var.2c <- VAR(Canada, p = 2, type = "const")
Bcoef(var.2c)

Example output

Loading required package: MASS
Loading required package: strucchange
Loading required package: zoo

Attaching package: 'zoo'

The following objects are masked from 'package:base':

    as.Date, as.Date.numeric

Loading required package: sandwich
Loading required package: urca
Loading required package: lmtest
           e.l1     prod.l1       rw.l1        U.l1       e.l2      prod.l2
e     1.6378206  0.16727167 -0.06311863  0.26558478 -0.4971338 -0.101650067
prod -0.1727658  1.15042820  0.05130390 -0.47850131  0.3852589 -0.172411873
rw   -0.2688329 -0.08106500  0.89547833  0.01213003  0.3678489 -0.005180947
U    -0.5807638 -0.07811707  0.01866214  0.61893150  0.4098182  0.052116684
            rw.l2        U.l2      const
e     0.003844492  0.13268931 -136.99845
prod -0.118851043  1.01591801 -166.77552
rw    0.052676565 -0.12770826  -33.18834
U     0.041801152 -0.07116885  149.78056

vars documentation built on May 1, 2019, 8:23 p.m.