lagmatrix function

Creates Lagmatrix of Estimated Coefficients

lagmatrix(fit, returnplot = F)

Arguments

• fit: Fitted VAR, VARX or VARMA model.
• returnplot: TRUE or FALSE: return plot of lag matrix or not.

Returns

A list with estimated lag matrix of the VAR model, or lag matrices of the VARX or VARMA model. The rows contain the responses, the columns contain the predictors.

Examples

data(var.example)
mod <- sparseVAR(Y=scale(Y.var), selection="cv")
Lhat <- lagmatrix(fit=mod)