| 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 | |