MTS: VARpsi – R documentation

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VARpsi

VAR Psi-weights

Computes the psi-weight matrices of a VAR model

VARpsi(Phi, lag = 5)

`Phi`	A k-by-kp matrix of VAR coefficients in the form Phi=[Phi1, Phi2, ..., Phip]
`lag`	Number of psi-weight lags

Psi-weights of a VAR model

Ruey S. Tsay

Tsay (2014, Chapter 2). Multivariate Time Series Analysis with R and Financial Applications. John Wiley. Hoboken, NJ.

p1=matrix(c(0.2,-0.6,0.3,1.1),2,2)
m1=VARpsi(p1,4)
names(m1)

All-Purpose Toolkit for Analyzing Multivariate Time Series (MTS) and Estimating Multivariate Volatility Models

v1.0

Artistic License 2.0

Authors

Ruey S. Tsay and David Wood

Initial release

2018-10-8