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 |