R: Coefficient matrices of the lagged endogenous variables

Acoef {vars} | R Documentation

## Coefficient matrices of the lagged endogenous variables

### Description

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

### Usage

    Acoef(x)

### Arguments

`x` | An object of class ‘`varest`’, generated by `VAR()`.

### Details

Given an estimated VAR(p) of the form:

\hat{\bold{y}}_t = \hat{A}_1 \bold{y}_{t-1} + … + \hat{A}_p \bold{y}_{t-p} + \hat{C}D_t

the function returns the matrices (\hat{A}_1, …, \hat{A}_p) each with dimension (K \times K) as a list object.

### Value

A list object with coefficient matrices for the lagged endogenous variables.

### Note

This function was named `A` in earlier versions of package vars; it is now deprecated. See `vars-deprecated` too.

### Author(s)

Bernhard Pfaff

### See Also

`Bcoef`, `VAR`

### Examples

    data(Canada)
    var.2c <- VAR(Canada, p = 2, type = "const")
    Acoef(var.2c)

[Package vars version 1.5-3 Index]