Coefficient Array of an Estimated tvVAR

Source: R/tvB.R

Returns the system estimated coefficients as an array.

tvBcoef(x)

Arguments

x

An object of class 'tvvar', generated by tvVAR.

Value

A list object with coefficient arrays for the lagged endogenous variables without including the intercept.

Details

Given an estimated time varying VAR of the form: $$\hat{{y}}_t = \hat{A}_{1t} {y}_{t-1} + \ldots + \hat{A}_{pt} {y}_{t-p} + \hat{C}_tD_t$$ the function returns a list for each equation with \((\hat{A}_{1t} | \ldots | \hat{A}_{pt} | \hat{C}_t )\) set of arrays .

Examples

data(Canada, package="vars")
var.2p <- vars::VAR(Canada, p = 2, type = "const")
tvvar.2p <- tvVAR(Canada, p=2, type= "const")

#> Calculating regression bandwidths... bandwidth(s)  1.055559 4.118743 20 0.8864787 
B <- vars::Bcoef(var.2p)
tvB <- tvBcoef(tvvar.2p)