coef.VLSTAR

coef

coefficients

Returns the coefficients of a VLSTAR model for objects generated by <code class="command">VLSTAR()</code>

VLSTAR

Allows the user to estimate a vector logistic smooth transition autoregressive model via maximum log-likelihood or nonlinear least squares. It further permits to test for linearity in the multivariate framework against a vector logistic smooth transition autoregressive model with a single transition variable. The estimation method is discussed in Terasvirta and Yang (2014, <doi:10.1108/S0731-9053(2013)0000031008>). Also, realized covariances can be constructed from stock market prices or returns, as explained in Andersen et al. (2001, <doi:10.1016/S0304-405X(01)00055-1>).

Andrea Bucci

starvars

Vector Logistic Smooth Transition Models Estimation and
Prediction

Giulio Palomba

Eduardo Rossi

Andrea Faragalli

coef.VLSTAR function

<dl><dt>object</dt>
<dd>An object of class &#8216;<code>VLSTAR</code>&#8217;; generated by <code class="command">VLSTAR()</code>.</dd>
<dt>...</dt>
<dd>Currently not used.</dd></dl>

Arguments

Author

Returns the coefficients of a VLSTAR model for objects generated by <code class='command'>VLSTAR()</code>

Coefficient method for objects of class VLSTAR — coef.VLSTAR

<dl>

<dt>object</dt>
<dd>An object of class &#8216;<code>VLSTAR</code>&#8217;; generated by <code class='command'>VLSTAR()</code>.</dd>


<dt>...</dt>
<dd>Currently not used.</dd>

</dl>

coef.VLSTAR: Coefficient method for objects of class VLSTAR

Description

Usage

Value

Arguments

Author

References

Examples