vars: B – R documentation

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B

Coefficient matrix of an estimated VAR(p)

Returns the estimated coefficients of a VAR(p) as a matrix.

Bcoef(x)

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

Given an estimated VAR 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 | \hat{C}) as a matrix object.

A matrix holding the estimated coefficients of a VAR.

This function was named B 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")
Bcoef(var.2c)

VAR Modelling

v1.5-3

GPL (>= 2)

Authors

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

Initial release

2018-08-05