Returns the estimated orthogonalised time-varying coefficient arrays of the
moving average representation of a stable tvvar object obtained with function tvVAR.
tvPsi(x, nstep = 10, ortho.cov = "const", bw.cov = NULL, ...)
| x | An object of class |
|---|---|
| nstep | An integer specifying the number of othogonalised moving error coefficient matrices to be calculated for each time t. |
| ortho.cov | A character either 'const' if the error cov matrix must be estimated by a constant or 'tv' if it is estimated as a time-varying matrix. Default is 'const'. |
| bw.cov | A scalar (optional) with the bandwidth to estimate the errors variance-covariance matrix. |
| ... | Other parameters passed to specific methods. |
A list with an array of dimensions (obs x neq x neq nstep + 1) holding the estimated time varying coefficients of the moving average representation, and the bandwidth used to estimate the covariance matrix (optional).