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 |