companionMat function

Companion Matrix

This function converts the (q x 1) vector of constants and (q x qp) matrix of autoregressive coefficients into (qp x qp) matrix belonging to the companion form

companionMat(phi, p, q)

Arguments

• phi: matrix of dimension (q x qp) containing autoregressive coefficients.
• p: integer for number of autoregressive lags.
• q: integer for number of series.

Returns

matrix of dimension (qp x qp) of companion form.