Wold function

Wold representation theorem

Transform VAR to VMA coefficients

Wold(x, nfore = 10)

Arguments

• x: VAR coefficients
• nfore: H-step ahead forecast horizon

Returns

Get VMA coefficients

Examples

data("dy2012")
fit = VAR(dy2012, configuration=list(nlag=1))
wold = Wold(fit$B, nfore=10)

Author(s)

David Gabauer