| Library: | multi |
| See also: | covfore2 |
| Quantlet: | cfc1diff | |
| Description: | Forecasting undifferenced time series in VAR models |
| Usage: | covf=cfc1diff(hh,covyh,covu,phi,f,di) | |
| Input: | ||
| hh | scalar, forecast horizon | |
| covyh | matrix, covariance matrix of forecasts | |
| covu | matrix, covariance matrix of residuals | |
| phi | scalar, 1.96 for alpha=0.95 | |
| f | matrix | |
| di | scalar, dimension of time series | |
| Output: | ||
| conf | matrix, forecast intervals | |