Wold {ConnectednessApproach} | R Documentation |
Transform VAR to VMA coefficients
Wold(x, nfore = 10)
x |
VAR coefficients |
nfore |
H-step ahead forecast horizon |
Get VMA coefficients
David Gabauer
data(dy2012)
fit = VAR(dy2012, configuration=list(nlag=1))
wold = Wold(fit$B, nfore=10)