| Library: | multi |
| See also: | coeffest |
| Quantlet: | covmwgen | |
| Description: | generates covariance matrix of the mean in VAR |
| Usage: | gh = covmwgen(covu,coeff,ord,di,adj,h,typ) | |
| Input: | ||
| covu | matrix, covariance | |
| coeff | matrix, estimated coefficients | |
| ord | integer, order of series | |
| di | integer, dimension of time series | |
| adj | integer, 1=if adjusted, 0=if not | |
| h | integer, forecast horizon | |
| typ | integer, describing the model type | |
| Output: | ||
| gh | matrix, covariance matrix | |