Library: | multi |
See also: | domulti |
Quantlet: | covforec | |
Description: | calculates the forecast MSE matrix for VAR models |
Usage: | covf=covforec(a,cova,covu,ord,adj,tb,te,h,typ,ytt) | |
Input: | ||
a | matrix, parameters | |
cova | matrix, covariance matrix of parameters | |
covu | matrix, covariance matrix of residuals | |
ord | vector, order of series | |
adj | scalar, 1=if adjusted, 0=if not | |
tb | integer, (time) begin | |
te | integer, (time) end | |
h | integer, forecast horizon | |
typ | integer, indicating the model type | |
ytt | vector, the transformed time series | |
Output: | ||
covf | matrix, forecast MSE |