bigtime (version 0.2.3)

lagmatrix: Creates Lagmatrix of Estimated Coefficients

Description

Creates Lagmatrix of Estimated Coefficients

Usage

lagmatrix(fit, returnplot = F)

Value

A list with estimated lag matrix of the VAR model, or lag matrices of the VARX or VARMA model. The rows contain the responses, the columns contain the predictors.

Arguments

fit

Fitted VAR, VARX or VARMA model.

returnplot

TRUE or FALSE: return plot of lag matrix or not.

Examples

data(var.example)
mod <- sparseVAR(Y=scale(Y.var), selection="cv")
Lhat <- lagmatrix(fit=mod)