PSIwgt function

Psi Wights Matrices

Computes the psi-weight matrices of a VARMA model

PSIwgt(Phi = NULL, Theta = NULL, lag = 12, plot = TRUE, output = FALSE)

Arguments

• Phi: A k-by-kp matrix of VAR coefficient matrix. Phi=[Phi1, Phi1, ..., Phip]
• Theta: A k-by-kq matrix of VMA coefficient matrix. Theta=[Theta1, Theta2, ..., Thetaq]
• lag: The number of psi-weight matrices to be computed. Deafult is 12.
• plot: A logical switch to control plotting of the psi-weights.
• output: A logical switch to control the output.

Returns

• psi.weight: Psi-weight matrices

• irf: Impulse response cofficient matrices

References

Tsay (2014, Chapter 3). Multivariate Time Series Analysis with R and Financial Applications. John Wiley. Hoboken, NJ.

Author(s)

Ruey S. Tsay

Examples

phi=matrix(c(0.2,-0.6,0.3,1.1),2,2)
theta=matrix(c(-0.5,0.2,0.0,-0.6),2,2)
m1=PSIwgt(Phi=phi,Theta=theta)