MVPIAR-class function

MVPIAR Class

MVPIAR Class

This class contains the matrices for the multivariate representation of an object of class fit.piartsm-class. class

Slots

  • Phi0:: Object of class "matrix": Matrix for the multivariate representation. See details in PAR.MVrepr-methods.

  • Phi1:: Object of class "matrix": Matrix for the multivariate representation. See details in PAR.MVrepr-methods.

  • Gamma.eigenvalues:: Object of class "numeric": Eigenvalues of the matrix Phi01%%Phi1Phi0^{-1} \%*\% Phi1.

  • tvias:: Object of class "matrix": Time-varying impact of accumulation of shocks calculated as Phi01%%Phi1%%Phi01Phi0^{-1} \%*\% Phi1 \%*\% Phi0^{-1}.

  • Omega0:: Object of class "ANY": Matrix for internal use.

  • Omega1:: Object of class "ANY": Matrix for internal use.

  • Pi0:: Object of class "ANY": Matrix for internal use.

  • Pi1:: Object of class "ANY": Matrix for internal use.

Methods

  • show: signature(object = "MVPIAR"): Shows the information contained in the slots.

References

P.H. Franses: Periodicity and Stochastic Trends in Economic Time Series (Oxford University Press, 1996).

Author(s)

Javier Lopez-de-Lacalle javlacalle@yahoo.es .

See Also

PAR.MVrepr-methods, and fit.piartsm-class.