Wold: Wold representation theorem
In YiffyGuo/GabauerDavid-ConnectednessApproach: Connectedness Approach
Wold R Documentation
Wold representation theorem
Description
Transform VAR to VMA coefficients
Usage
Wold(x, nfore = 10)
Arguments
x
VAR coefficients
nfore
H-step ahead forecast horizon
Value
Get VMA coefficients
Author(s)
David Gabauer
References
Sims, C. A. (1980). Macroeconomics and reality. Econometrica, 1-48.
Examples
data(dy2012)
fit = VAR(dy2012, configuration=list(nlag=1))
wold = Wold(fit$B, nfore=10)
YiffyGuo/GabauerDavid-ConnectednessApproach documentation built on April 15, 2022, 5:20 p.m.
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| Wold | R Documentation |
Wold representation theorem
Description
Transform VAR to VMA coefficients
Usage
Wold(x, nfore = 10)
Arguments
x |
VAR coefficients |
nfore |
H-step ahead forecast horizon |
Value
Get VMA coefficients
Author(s)
David Gabauer
References
Sims, C. A. (1980). Macroeconomics and reality. Econometrica, 1-48.
Examples
data(dy2012) fit = VAR(dy2012, configuration=list(nlag=1)) wold = Wold(fit$B, nfore=10)
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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