Library: | multi |
See also: | omerrgen |
Quantlet: | omegagen | |
Description: | calculates the correction term for MSE matrix of h-step forecasts in VAR models |
Usage: | omega = omegagen(coeff,gam,phi,sigma,h) | |
Input: | ||
coeff | matrix, the coefficients | |
gam | matrix | |
phi | matrix | |
sigma | vector, standard error | |
h | integer, forecast horizon | |
Output: | ||
omega | matrix |