tsDyn (version 11.0.4)

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

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)