| Library: | multi |
| See also: | modelrr estabr covarr covabc covabrr |
| Quantlet: | covbrr | |
| Description: | Covariance matrix B, reduced rank VAR Model |
| Usage: | cov=covbrr(b,ew,r,j,l,icovp,diord) | |
| Input: | ||
| b | matrix of parameters | |
| ew | matrix of eigenvalues | |
| r | integer, rank of VAR model | |
| j | integer, index | |
| l | integer, index | |
| icovp | matrix | |
| diord | integer, (dimension * order) | |
| Output: | ||
| cov | matrix | |