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 |