Keywords - Function groups - @ A B C D E F G H I J K L M N O P Q R S T U V W X Y Z

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




Author: C. Hafner, W. Haerdle, 19981230 license MD*Tech
(C) MD*TECH Method and Data Technologies, 05.02.2006