VARpsi function

VAR Psi-weights

Computes the psi-weight matrices of a VAR model

VARpsi(Phi, lag = 5)

Arguments

• Phi: A k-by-kp matrix of VAR coefficients in the form Phi=[Phi1, Phi2, ..., Phip]
• lag: Number of psi-weight lags

Returns

Psi-weights of a VAR model

References

Tsay (2014, Chapter 2). Multivariate Time Series Analysis with R and Financial Applications. John Wiley. Hoboken, NJ.

Author(s)

Ruey S. Tsay

Examples

p1=matrix(c(0.2,-0.6,0.3,1.1),2,2)
m1=VARpsi(p1,4)
names(m1)