| Library: | multi |
| See also: |
| Quantlet: | evci | |
| Description: | auxiliary quantlet for cointegration |
| Usage: | {ev,ew} = evci(y,dy,ord,b,e,t,di) | |
| Input: | ||
| y | matrix, time series | |
| dy | matrix, differenced time series | |
| ord | integer, order of series | |
| b | vector | |
| e | vector | |
| t | vector, number of observations | |
| di | integer, dimension of time series | |
| Output: | ||
| ev | matrix, eigenvectors | |
| ew | matrix, eigenvalues | |