Ans = get(V,Query)
[Ans,Ans,...] = get(V,Query,Query,...)
V [ VAR ] - VAR object.
Query [ char ] - Query to the VAR object.
Ans [ ... ] - Answer to the query.'yList' -- Returns [ cellstr ] the names of endogenous variables.
'eList' -- Returns [ cellstr ] the names of residuals or shocks.
'iList' -- Returns [ cellstr ] the names of conditioning (forecast) instruments.
'ny' -- Returns [ numeric ] the number of variables.
'ne' -- Returns [ numeric ] the number of residuals or shocks.
'ni' -- Returns [ numeric ] the number of conditioning (forecast) instruments.
'A#', 'A*', 'A$' -- Returns [ numeric ] the transition matrix in one of the three possible forms; see Description.
'K', 'const' -- Returns [ numeric ] the constant vector or matrix (the latter for panel VARs).
'J' -- Returns [ numeric ] the coefficient matrix in front of exogenous inputs.
'Omg', 'Omega' -- Returns [ numeric ] the covariance matrix of one-step-ahead forecast errors, i.e. reduced-form residuals. Note that this query returns the same matrix also for structural VAR (SVAR) objects.
'Sgm', 'Sigma' -- Returns [ numeric ] the covariance matrix of the VAR parameter estimates; the matrix is non-empty only if the option 'covParam=' has been set to true at estimation time.
'G' -- Returns [ numeric ] the coefficient matrix on cointegration terms.
'AIC' -- Returns [ numeric ] Akaike information criterion.
'SBC' -- Returns [ numeric ] Schwarz bayesian criterion.
'cumLong' -- Returns [ numeric ] the matrix of long-run cumulative responses.
'nFree' -- Returns [ numeric ] the number of freely estimated (hyper-) parameters.
'order', 'p' -- Returns [ numeric ] the order of the VAR object.
There are three queries to request the VAR transition matrix: 'A#', 'A*', 'A$'. They differ in how the higher-order transition matrices are arranged.
'A#' returns cat(3,I,-A1,...,-Ap) where I is an identity matrix, and A1, ... Ap are the coefficient matrices on individual lags.
'A#' returns cat(3,A1,...,Ap) where A1, ... Ap are the coefficient matrices on individual lags.
'A$' returns [A1,...,Ap] where A1, ... Ap are the coefficient matrices on individual lags.