Library: | multi |
See also: | modelrr |
Quantlet: | estabr | |
Description: | estimation of reduced rank VAR model |
Usage: | {y, ew2} = estabr(ord,rang,di,tb,te,typ,ytt) | |
Input: | ||
ord | integer, order of series | |
rang | matrix | |
di | integer, dimension of time series | |
tb | integer, (time) begin | |
te | integer, (time) end | |
typ | integer, describing the model type | |
ytt | vector, the transformed time series | |
Output: | ||
y | matrix of parameters a and b | |
ew2 | matrix of eigenvalues |