| 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