Library: | multi |
See also: | modelci |
Quantlet: | gammaci | |
Description: | auxiliary quantlet for cointegration |
Usage: | gam=gammaci(dy,yp,d,c,ord,b,e,di) | |
Input: | ||
dy | matrix, differenced time series | |
yp | matrix, submatrix of time series | |
d | matrix | |
c | matrix | |
ord | integer, order of series | |
b | matrix | |
e | vector | |
di | integer, dimension of time series | |
Output: | ||
gam | matrix, covariance matrix |