lagmatrix: Creates Lagmatrix of Estimated Coefficients

In YiHou98/bigtime: Sparse Estimation of Large Time Series Models

Description

Creates Lagmatrix of Estimated Coefficients

Usage

lagmatrix(fit, model, returnplot = F)

Arguments

fit	Fitted VAR, VARX or VARMA model.
model	Type of model that was estimated: VAR, VARX or VARMA.
returnplot	TRUE or FALSE: return plot of lag matrix or not.

Value

A list with estimated lag matrix of the VAR model, or lag matrices of the VARX or VARMA model. The rows contain the responses, the columns contain the predictors.

Examples

data(Y)
data(X)
VARXfit <- sparseVARX(Y=Y, X=X) # sparse VARX
Lhats <- lagmatrix(fit=VARXfit, model="VARX")

YiHou98/bigtime documentation built on Dec. 18, 2021, 7:26 p.m.