Bcoef {vars}R Documentation

Coefficient matrix of an estimated VAR(p)

Description

Returns the estimated coefficients of a VAR(p) as a matrix.

Usage

Bcoef(x)

Arguments

x An object of class ‘varest’, generated by VAR().

Details

Given an estimated VAR 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 | hat{C}) as a matrix object.

Value

A matrix holding the estimated coefficients of a VAR.

Note

This function was named B in earlier versions of package vars; it is now deprecated. See vars-deprecated too.

Author(s)

Bernhard Pfaff

See Also

Acoef, VAR

Examples

data(Canada)
var.2c <- VAR(Canada, p = 2, type = "const")
Bcoef(var.2c)

[Package vars version 1.4-4 Index]