B: Coefficient matrix of an estimated VAR(p)

In vars: VAR Modelling

Coefficient matrix of an estimated VAR(p)

Description

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

Usage

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

the function returns the matrices (\hat{A}_1 | \ldots | \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

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

vars documentation built on June 24, 2024, 9:08 a.m.