Keywords - Function groups - @ A B C D E F G H I J K L M N O P Q R S T U V W X Y Z

Library: multi
See also: forecast

Quantlet: forec2
Description: Forecasting in VAR Models with undifferencing

Usage: forec2(a,cova,covu,ord,adj,tb,te,y,ytt,typ,infotran,header,outp)
Input:
a matrix of parameters
cova covariance matrix of parameter estimates
covu covariance matrix of residuals
ord vector, order of series
adj scalar, 1=if adjusted, 0=if not
tb integer, (time) begin
te integer, (time) end
y k x n matrix, the original time series
ytt k x n matrix, the transformed (and transposed) time series
typ 1,2 or 3, giving the type of model: 1=Full, 2=Subset, 3=Reduced Rank
infotran matrix, containing info about transformations
header list of 7 objects: natlog,diff,origyear, periodicity,origperiod,name,exclude
outp integer, (1=output to file, 0 = no output)




Author: C. Hafner, W. Haerdle, 19981230 license MD*Tech
(C) MD*TECH Method and Data Technologies, 05.02.2006