vars: A – R documentation

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A

Coefficient matrices of the lagged endogenous variables

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

Acoef(x)

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

Given an estimated VAR(p) of the form:

\hat{\bold{y}}_t = \hat{A}_1 \bold{y}_{t-1} + … + \hat{A}_p \bold{y}_{t-p} + \hat{C}D_t

the function returns the matrices (\hat{A}_1, …, \hat{A}_p) each with dimension (K \times K) as a list object.

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

This function was named A in earlier versions of package vars; it is now deprecated. See vars-deprecated too.

Bernhard Pfaff

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

VAR Modelling

v1.5-3

GPL (>= 2)

Authors

Bernhard Pfaff [aut, cre], Matthieu Stigler [ctb]

Initial release

2018-08-05