Convert a VAR with p lags to a statespace representation with just one lag
Usage
as_statespace_var(betas, sigma)
Arguments
- betas
matrix of coefficients from a VAR.
Should have constant coefficient in the first column if included.
Dimensions should be k x (1 + k * p), or k x (k x p) if no constant.
- sigma
matrix of the var-cov of the residuals.
Should be k x k in dimension.
Value
matrix coefficients for VAR 1 representation