XploRe Help: Function Index

Keywords - Function Groups - @ A B C D E F G H I J K L M N O P Q R S T U V W X Y Z

multi

addfnci

auxiliary quantlet for cointegration

agen

auxiliary quantlet for VAR models

aorBgen

auxiliary quantlet for full VAR model analysis

arofva

auxiliary quantlet for full VAR model analysis

bgen

auxiliary quantlet for full VAR model analysis

cfc1diff

Forecasting undifferenced time series in VAR models

chol

computes the Cholesky decomposition of a symmetric, positive definite matrix

ciirboot

Computes two sided bootstrap confidence intervals for impulse responses for a K-dimensional VAR(p) by resampling the estimated residuals. The confidence intervals are computed using the methodology of Hall (The Bootstrap and the Edgeworth Expansion, 1992) and Efron & Tibshirani (An Introduction to

coeffba

auxiliary quantlet for full VAR model analysis

coeffest

estimates the coefficients of a full VAR model

coeffss

estimates parameters of Subset VAR

covabc

Covariance matrix of C=A*B, Reduced Rank VAR Model

covabrr

covariance matrix A*B, reduced rank VAR model

covarr

covariance matrix A, reduced rank VAR model

covbrr

Covariance matrix B, reduced rank VAR Model

covcheck

checks if the covariance matrix is singular

covfore2

Computes forecast MSE matrix for undiff. time series

covforec

calculates the forecast MSE matrix for VAR models

covmlrr

covariance matrix used for reduced rank models

covmwgen

generates covariance matrix of the mean in VAR

covres

auxiliary quantlet for full VAR models

criterss

calculates selection criteria for Subset VAR

dgenci

auxiliary quantlet for cointegration

diagrv

replaces the diagonal of x by v

domulti

the starting quantlet for the library multi. The user can interactively transform the data, do preliminary analysis, select the model type, etc.

estabr

estimation of reduced rank VAR model

evci

auxiliary quantlet for cointegration

fgenci

auxiliary quantlet for cointegration

floatinf

provides information about real numbers within the interval [.5,0) in the form of x=a*10^b, b is bounded by -20

fncovci

auxiliary quantlet for cointegration

fnrici

auxiliary quantlet for cointegration

fnyzci

auxiliary quantlet for cointegration

fnzzci

auxiliary quantlet for cointegration

forec2

Forecasting in VAR Models with undifferencing

forecast

Forecasting in VAR Models

gammaci

auxiliary quantlet for cointegration

hgen

auxiliary quantlet for full VAR model analysis

hgenrr

Generation of H for the Reduced Rank VAR Model

impres

computes the forecast error impulse responses of a K-dimensional VAR(p)-model from the model parameters 'a' up to 't' time periods after the shock.

ira

Generation of menu system for impulse response analysis. A system of menus will appear on the screen that guides you through the stages of impulse response analysis for vector autoregressive models. This quantlet defines the following pop-up menus: irairmax, iracoverage, irabootci, irayscale, irai

itediff

calculates the i^th difference of a time series

ivforec

Computes forecast intervals for VAR Models

jagen

auxiliary quantlet for VAR models

jbgen

auxiliary quantlet for full VAR model analysis

jotaAorB

auxiliary quantlet for VAR models

kommumat

generates a help matrix for Subset VAR models

lgenci

auxiliary quantlet for cointegration

modelci

general analysis for cointegration

modelfr

general analysis for the Full VAR Model, called by the quantlet domulti

modelrr

general analysis for the Reduced Rank VAR Model, called by the quantlet domulti

modelss

general analysis for the Subset VAR Model, called by the quantlet domulti

multimain

sets defaults for quantlib multi

multiplot

Plots K-dimensional time series.

multitest

executes some tests for the quantlets defined in multi.lib. Is invoked by vertestl().

normalt

multivariate normality tests

omegagen

calculates the correction term for MSE matrix of h-step forecasts in VAR models

omerrgen

Generation of Omega for the reduced rank VAR model

omgenci

auxiliary quantlet for cointegration

ones

creating a n x d dimensional matrix of ones

phigen

auxiliary quantlet for full VAR model analysis

portmant

calculates the multivariate portmanteau statistic

power

calculates x to the power of exponent

prognos2

Forecasts of undifferenced series for VAR Models

prognose

forecasting in VAR models

residuen

calculates residuals for VAR models

rev

reverts the order of the rows of the input matrix

rgenss

generates the restriction matrix for Subset VAR

rici

auxiliary quantlet for cointegration

rootsci

calculates characteristic roots of VAR operator

selec

selects rows from the matrix mat

sfcoeff

estimates standard errors of parameter estimates

sfvonbss

standard errors of parameters for Subset VAR

sfvonmw

standard errors for mean in VAR models

shiftr

Shifts the rows of a matrix

sigma1

auxiliary quantlet for full VAR model analysis

sijci

auxiliary quantlet for cointegration

simvar

computes a multidimensional autoregressive time series.

spur

computes the trace of the matrix

station

test for structural change (for VAR models)

strucbru

auxiliary quantlet for multi

varml

computes the maximum likelihood estimates of the model parameters (beta) and covariance (s) of residuals of a VAR(p) model without intercept

varorder

standard selection criteria for Full VAR models

varunls

computes the unconstrained least squares estimates of the model parameters (B), residuals (u), variance-covariance matrix of the residuals (s), and autocovariance matrix of the time series (g) of a K-dimensional VAR(p) model with/ without intercept

ymulz

auxiliary matrix multiplication for least squares regression

yzci

auxiliary quantlet for cointegration

zgenci

auxiliary quantlet for cointegration

zmulz

auxiliary matrix multiplication for least squares regression

zxgen

concatenates a VAR series

zzgenci

auxiliary quantlet for cointegration

Keywords - Function Groups - @ A B C D E F G H I J K L M N O P Q R S T U V W X Y Z

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