vars (version 1.1-9)

A: Coefficient matrices of the lagged endogenous variables

Description

Returns the estimated coefficient matrices of the lagged endogenous variables as a list of matrices each with dimension $(K \times K)$.

Usage

A(x)

Arguments

x

An object of class varest, generated by VAR().

Value

• A list object with coefficient matrices for the lagged endogenous variables.

Details

Given an estimated VAR(p) of the form: $$\hat{\bold{y}}_t = \hat{A}_1 \bold{y}_{t-1} + \ldots + \hat{A}_p \bold{y}_{t-p} + \hat{C}D_t$$ the function returns the matrices $(\hat{A}_1, \ldots, \hat{A}_p)$ each with dimension $(K \times K)$ as a list object.

See Also

B, VAR

Examples

data(Canada)
var.2c <- VAR(Canada, p = 2, type = "const")
A(var.2c)