vars (version 1.1-9)

B: Coefficient matrix of an estimated VAR(p)

Description

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

Usage

B(x)

Arguments

x

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

Value

• A matrix holding the estimated coefficients of a VAR.

Details

Given an estimated VAR of the form: $$\hat{\bold{y}}_t = \hat{A}_1 \bold{y}_{t-1} + \ldots + \hat{A}_p \bold{y}_{t-p} + \hat{C}D_t$$ the function returns the matrices $(\hat{A}_1 | \ldots | \hat{A}_p | \hat{C})$ as a matrix object.

See Also

A, VAR

Examples

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