VARshrink (version 0.3.3)

Acoef_sh: Coefficient matrices of the lagged endogenous variables

Description

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

Usage

Acoef_sh(x)

Value

A list object with K-by-K VAR coefficient matrices \(\mathbf{A}_1, ..., \mathbf{A}_p\).

Arguments

x

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

Details

Consider VAR(p) model: $$\mathbf{y}_t = \mathbf{A}_1 \mathbf{y}_{t-1} + ... + \mathbf{A}_p \mathbf{y}_{t-p} + \mathbf{C} \mathbf{d}_t + \mathbf{e}_t.$$ The function returns the \((K \times K)\) matrices \(\mathbf{A}_1, ..., \mathbf{A}_p\) as a list object.

This function modifies vars::Acoef() for the class "varshrinkest", preventing redundant copying of data matrix objects.

See Also

Acoef

Examples

data(Canada, package = "vars")
y <- diff(Canada)
estim <- VARshrink(y, p = 2, type = "const", method = "ridge")
Acoef_sh(estim)