tvPsi

Returns the estimated orthogonalised time-varying coefficient arrays of the
moving average representation of a stable <code>tvvar</code> object obtained with function <code>tvVAR</code>.

Fitting time-varying coefficient models for single and multi-equation regressions, using kernel smoothing techniques.

Isabel Casas

tvReg

Time-Varying Coefficient for Single and Multi-Equation
Regressions

Ruben Fernandez-Casal

tvPsi function

<dl><dt>x</dt>
<dd>An object of class <code>tvvar</code>, generated by tvVAR().</dd>
<dt>nstep</dt>
<dd>An integer specifying the number of othogonalised moving error coefficient
matrices to be calculated for each time t.</dd>
<dt>ortho.cov</dt>
<dd>A character either 'const' if the error cov matrix must be estimated by a constant
or 'tv' if it is estimated as a time-varying matrix. Default is 'const'.</dd>
<dt>bw.cov</dt>
<dd>A scalar (optional) with the bandwidth to estimate the errors variance-covariance matrix.</dd>
<dt>...</dt>
<dd>Other parameters passed to specific methods.</dd></dl>

Arguments

Time-Varying Coefficient Arrays of the Orthogonalised MA Represention — tvPsi

<dl>

<dt>x</dt>
<dd>An object of class <code>tvvar</code>, generated by tvVAR().</dd>


<dt>nstep</dt>
<dd>An integer specifying the number of othogonalised moving error coefficient
matrices to be calculated for each time t.</dd>


<dt>ortho.cov</dt>
<dd>A character either 'const' if the error cov matrix must be estimated by a constant
or 'tv' if it is estimated as a time-varying matrix. Default is 'const'.</dd>


<dt>bw.cov</dt>
<dd>A scalar (optional) with the bandwidth to estimate the errors variance-covariance matrix.</dd>


<dt>...</dt>
<dd>Other parameters passed to specific methods.</dd>

</dl>

tvPsi: Time-Varying Coefficient Arrays of the Orthogonalised MA Represention

Description

Usage

Value

Arguments