Library: | multi |
See also: | modelci |
Quantlet: | fncovci | |
Description: | auxiliary quantlet for cointegration |
Usage: | covci =fncovci(f,covu,om,c,di,ord,rk) | |
Input: | ||
f | matrix, | |
covu | matrix, covariance | |
om | matrix, | |
c | vector, | |
di | integer, dimension of time series | |
ord | integer, order of series | |
rk | integer, rank of matrix (dimension-cointegration rank) | |
Output: | ||
covci | matrix, covariance matrix |