| 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 | |