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 |