Bcoef {vars} | R Documentation |
Returns the estimated coefficients of a VAR(p) as a matrix.
Bcoef(x)
x |
An object of class ‘varest ’, generated by VAR() . |
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.
A matrix holding the estimated coefficients of a VAR.
This function was named B
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") Bcoef(var.2c)