Acoef {vars} | R Documentation |
Returns the estimated coefficient matrices of the lagged endogenous variables as a list of matrices each with dimension (K times K).
Acoef(x)
x |
An object of class ‘varest ’, generated by VAR() . |
Given an estimated VAR(p) of the form:
hat{y}_t = hat{A}_1 y_{t-1} + ... + hat{A}_p y_{t-p} + hat{C}D_t
the function returns the matrices (hat{A}_1, ..., hat{A}_p) each with dimension (K times K) as a list object.
A list object with coefficient matrices for the lagged endogenous variables.
This function was named A
in earlier versions of package
vars; it is now deprecated. See vars-deprecated
too.
Bernhard Pfaff
data(Canada) var.2c <- VAR(Canada, p = 2, type = "const") Acoef(var.2c)