| Library: | multi |
| See also: | modelrr estabr covarr covbrr covabrr |
| Quantlet: | covabc | |
| Description: | Covariance matrix of C=A*B, Reduced Rank VAR Model |
| Usage: | covc=covabc(ord,rang,di,tb,te,t,typ,ytt,ew) | |
| Input: | ||
| ord | integer, order of VAR model | |
| rang | integer, rank of VAR model | |
| di | integer, dimension of time series | |
| tb | integer, beginning of sample | |
| te | integer, end of sample | |
| t | integer, length of sample | |
| typ | integer, model type | |
| ytt | matrix, transformed time series | |
| ew | matrix of eigenvalues | |
| Output: | ||
| covc | covariance matrix of C | |