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tsDyn (version 11.0.4.1)

VARrep: VAR representation

Description

Show the VAR representation of a VECM

Usage

VARrep(object, ...)

# S3 method for VECM VARrep(object, ...)

# S3 method for VAR VARrep(object, ...)

Value

A matrix containing the parameters of the VECM under their VAR representation.

Arguments

object

An object of class ‘VECM’ created by VECM, or of class ‘VAR’ created by lineVar

...

Currently not used

Author

Matthieu Stigler

References

Hamilton (1994) Time Series Analysis, Princeton University Press

Examples

Run this code


data(barry)

# VECM model:
mod_vecm <- VECM(barry, lag=2, estim="ML")
VARrep(mod_vecm)

# VAR model:
mod_var <- lineVar(barry, lag=2, I="diff")
VARrep(mod_var)


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