R/phi.r

In joergrieger/bayesianConnectedness: Calculates spillover measures as in Diebold-Yilmaz (2009)

#' @title VMA representation of VAR estimate
#' @param Alpha an nxnxp array with the VAR coefficients
#' @param vma_order order of the vector moving average process
#' @param ar_order the order of the vector autoregressive process
#' @param k the number of variables in the VAR model
#' @return an nxnxvma_order array of the moving average coefficients
#'
cv_var2vma <- function(Alpha,vma_order,ar_order,k){


  vma <- array(0,dim=c(k,k,vma_order))

  vma[,,1] <- Alpha[[1]]

  if(vma_order > 1){

    for(ii in 2:vma_order){

      if(ii <= ar_order){

        vma[,,ii] <- Alpha[[ii]] %*% vma[,,ii - 1]

      }
    }
  }
  return(vma)
}