lagmatrix {bigtime} | R Documentation |
Creates Lagmatrix of Estimated Coefficients
lagmatrix(fit, model, returnplot = F)
fit |
Fitted VAR, VARX or VARMA model. |
model |
Type of model that was estimated: VAR, VARX or VARMA. |
returnplot |
TRUE or FALSE: return plot of lag matrix or not. |
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.
data(Y) data(X) VARXfit <- sparseVARX(Y=Y, X=X) # sparse VARX Lhats <- lagmatrix(fit=VARXfit, model="VARX")