vars (version 1.6-1)

Bcoef: Coefficient matrix of an estimated VAR(p)

Description

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

Usage

Bcoef(x)

Value

A matrix holding the estimated coefficients of a VAR.

Arguments

x

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

Author

Bernhard Pfaff

Details

Given an estimated VAR 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 \((\hat{A}_1 | \ldots | \hat{A}_p | \hat{C})\) as a matrix object.

See Also

Acoef, VAR

Examples

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