vars (version 1.6-1)

Acoef: 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

Acoef(x)

Value

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

Arguments

x

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

Author

Bernhard Pfaff

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

Bcoef, VAR

Examples

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