VHARtoVMA {bvhar} | R Documentation |
Convert VHAR process to infinite vector MA process
VHARtoVMA(object, lag_max)
object |
A |
lag_max |
Maximum lag for VMA |
Let VAR(p) be stable
and let VAR(p) be
Y_0 = X_0 B + Z
VHAR is VAR(22) with
Y_0 = X_1 B + Z = ((X_0 \tilde{T}^T)) \Phi + Z
Observe that
B = \tilde{T}^T \Phi
VMA coefficient of k(lag-max + 1) x k dimension
Lütkepohl, H. (2007). New Introduction to Multiple Time Series Analysis. Springer Publishing.