VARshrink (version 0.3.1)

Acoef_sh: Coefficient matrices of endogenous variables

Description

Returns the estimated coefficient matrices of the lagged endogenous variables of a VAR(p) model. This is a modification of vars::Acoef() for the class "varshrinkest".

Usage

Acoef_sh(x)

Arguments

x

An object of class "varshrinkeset", generated by VARshrink().

Value

A list object with K-by-K VAR coefficient matrices A_1, A_2, ..., A_p

Details

Consider VAR(p) model: $$y_t = A_1 y_{t-1} + ... + A_p y_{t-p} + C d_t + e_t .$$ The function returns the K-by-K matrices A_1, ..., A_p as a list object.

See Also

Acoef

Examples

# NOT RUN {
data(Canada, package = "vars")
y <- diff(Canada)
estim <- VARshrink(y, p = 2, type = "const", method = "ridge")
Acoef_sh(estim)
# }

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