tvAcoef: Time-Varying Coefficient Arrays of the Lagged Endogenous Variables of a TVVAR (no intercept).
Description
Returns the estimated coefficients of the lagged endogenous variables as an array.
Given an estimated time varying VAR of the form:
$$\hat{\bold{y}}_t = \hat{A}_{1t} \bold{y}_{t-1} + \ldots + \hat{A}_{pt} \bold{y}_{t-p} + \hat{C}_tD_t$$
the function returns a list for each equation with \(\hat{A}_{1t} | \ldots | \hat{A}_{pt} | \hat{C}_t)\)
set of arrays
# NOT RUN {data(Canada, package="vars")
var.2p <- vars::VAR(Canada, p = 2, type = "const")
tvvar.2p <- tvVAR(Canada, p = 2, type = "const")
A <- vars::Acoef(var.2p)
tvA <- tvAcoef(tvvar.2p)
# }