VARpsi: VAR Psi-weights
In d-/MTS: All-Purpose Toolkit for Analyzing Multivariate Time Series (MTS) and Estimating Multivariate Volatility Models
VARpsi R Documentation
VAR Psi-weights
Description
Computes the psi-weight matrices of a VAR model
Usage
VARpsi(Phi, lag = 5)
Arguments
Phi
A k-by-kp matrix of VAR coefficients in the form
Phi=[Phi1, Phi2, ..., Phip]
lag
Number of psi-weight lags
Value
Psi-weights of a VAR model
Author(s)
Ruey S. Tsay
References
Tsay (2014, Chapter 2). Multivariate Time Series Analysis with R
and Financial Applications. John Wiley. Hoboken, NJ.
Examples
p1=matrix(c(0.2,-0.6,0.3,1.1),2,2)
m1=VARpsi(p1,4)
names(m1)
d-/MTS documentation built on June 12, 2022, 12:50 a.m.
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| VARpsi | R Documentation |
VAR Psi-weights
Description
Computes the psi-weight matrices of a VAR model
Usage
VARpsi(Phi, lag = 5)
Arguments
Phi |
A k-by-kp matrix of VAR coefficients in the form Phi=[Phi1, Phi2, ..., Phip] |
lag |
Number of psi-weight lags |
Value
Psi-weights of a VAR model
Author(s)
Ruey S. Tsay
References
Tsay (2014, Chapter 2). Multivariate Time Series Analysis with R and Financial Applications. John Wiley. Hoboken, NJ.
Examples
p1=matrix(c(0.2,-0.6,0.3,1.1),2,2) m1=VARpsi(p1,4) names(m1)
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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