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How can i extract coefficients for each variable from a BigVAR object? #10

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runnytone opened this issue Jan 11, 2019 · 3 comments
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@runnytone
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Thanks for your contribution.
How can I extract coefficients for each variable from a BigVAR object?
Thank you.

@runnytone
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I find that BigVAR.results returns the array of VAR/VARX coefficients from out of sample forecasts. But I was told that could not find function "BigVAR.results" every time I call the function.

@runnytone
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I tried the demo below. Does '@betaPred' call the coeffcients for the bigvar?
`
library(BigVAR)

VARX Example

Create a Basic VARX-L with k=2, m=1, s=2, p=4

VARX=list()
VARX$k=2 # indicates that the first two series are modeled
VARX$s=2 # sets 2 as the maximal lag order for exogenous series
data(Y)
T1=floor(nrow(Y)/3)
T2=floor(2*nrow(Y)/3)
Model1=constructModel(Y,p=4,struct="Basic",gran=c(50,10),verbose=FALSE,VARX=VARX,T1=T1,T2=T2)
est <- cv.BigVAR(Model1)
B <- est@betaPred
`

@wbnicholson
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Yes, betaPred returns the coefficients for the last model fit in the evaluation period.

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