VARshrink (version 0.3.1)

Bcoef_sh: Coefficient matrix

Description

Returns the estimated coefficients of a VAR(p) model as a matrix. This is a modification of vars::Bcoef() for the class "varshrinkest".

Usage

Bcoef_sh(x)

Arguments

x

An object of class "varshrinkest" generated by VARshrink().

Value

A matrix holding the estimated coefficients of a VAR.

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 concatenated matrix (A_1, ..., A_p, C) as a matrix object.

See Also

Bcoef

Examples

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

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