V = assign(V,A,K,J,Omg)
V = assign(V,A,K,J,Omg,Dates)
V
[ VAR ] - VAR object with variable names.
A
[ numeric ] - Transition matrices; see Description.
K
[ numeric | empty ] - Constant vector or matrix; if empty, the constant vector will be set to zeros, and will not be included in the number of free parameters.
J
[ numeric | empty ] - Coefficient matrix in front exogenous inputs; if empty the matrix will be set to zeros.
Omg
[ numeric ] - Covariance matrix of forecast errors (reduced-form residuals).
Dates
[ numeric ] - Vector of dates of (hypothetical) fitted observations; may be omitted.
V
[ VAR ] - VAR object with system matrices assigned.To assign matrices for a p-th order VAR, stack the transition matrices for individual lags horizontally,
A = [A1,...,Ap]
where A1
is the coefficient matrix on the first lag, and Ap
is the coefficient matrix on the last, p-th, lag.