| Library: | multi |
| See also: | forec2 forecast |
| Quantlet: | ivforec | |
| Description: | Computes forecast intervals for VAR Models |
| Usage: | yy=ivforec(h,yh,covdyd,z) | |
| Input: | ||
| h | scalar, forecast horizon | |
| yh | matrix, forecasts of variables | |
| covdyd | matrix, forecast mse | |
| z | scalar, 1.96 for alpha=0.95 | |
| Output: | ||
| yy | matrix, forecast intervals | |