Library: | multi |
See also: | domulti |
Quantlet: | hgenrr | |
Description: | Generation of H for the Reduced Rank VAR Model |
Usage: | h=hgenrr(a,b,di,ord,rang) | |
Input: | ||
a | Matrix A (di x rk) | |
b | Matrix B (rk x di) | |
di | integer, dimension of time series | |
ord | integer, order of VAR model | |
rang | integer, rank of VAR model | |
Output: | ||
h | loading matrix |
library("multi") hgenrr(1|2,1~3,2,1,1)
Contents of h [1,] 1 0 1 0 [2,] 0 1 2 0 [3,] 3 0 0 1 [4,] 0 3 0 2