coef

coef,BigVAR.results-method

coef-methods

Default coef method BigVAR-results, returns the last coefficient matrix from the evaluation period

Estimates VAR and VARX models with Structured Penalties using the methods developed by Nicholson et al (2017)<doi:10.1016/j.ijforecast.2017.01.003> and Nicholson et al (2020) <doi:10.48550/arXiv.1412.5250>.

Will Nicholson

BigVAR

Dimension Reduction Methods for Multivariate Time Series

David Matteson

Jacob Bien

Ines Wilms

coef function

<dl><dt>object</dt>
<dd>BigVAR.results object created from <code>cv.BigVAR</code></dd></dl>

Arguments

Default coef method BigVAR-results, returns the last coefficient matrix from the evaluation period — coef

<dl>

<dt>object</dt>
<dd>BigVAR.results object created from <code>cv.BigVAR</code></dd>

</dl>

coef: Default coef method BigVAR-results, returns the last coefficient matrix from the evaluation period

Description

Usage

Arguments

Details