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 |