Library: | multi |
See also: | modelrr |
Quantlet: | covmlrr | |
Description: | covariance matrix used for reduced rank models |
Usage: | cov=covmlrr(ord,rang,di,tb,te,typ,ytt) | |
Input: | ||
ord | scalar, model order | |
rang | scalar, rank of VAR matrix | |
di | scalar, dimension of time series | |
tb | scalar, beginning of sample | |
te | scalar, beginning of sample | |
typ | scalar, model type | |
ytt | matrix, transformed time series | |
Output: | ||
cov | matrix, covariance matrix |