Acoef {vars}R Documentation

Coefficient matrices of the lagged endogenous variables

Description

Returns the estimated coefficient matrices of the lagged endogenous variables as a list of matrices each with dimension (K times K).

Usage

Acoef(x)

Arguments

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

Details

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.

Value

A list object with coefficient matrices for the lagged endogenous variables.

Note

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

Author(s)

Bernhard Pfaff

See Also

Bcoef, VAR

Examples

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

[Package vars version 1.4-4 Index]