Description Usage Arguments Value
Constructs companion form from n x np matrix of RFVAR coefficients estimated by OLS.
1 | getCompanionForm(mB)
|
mB |
a n x np matrix of the AR coefficients of the reduced-form VAR (without deterministic terms ). The coefficients are organised as follows: Y1_t-1, Y2_t-1, Y1_t-2, Y2_t-2, ..., Y1_t-p, Y2_t-p. |
np x np companion form matrix
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