| Library: | multi |
| See also: | domulti modelrr |
| Quantlet: | omerrgen | |
| Description: | Generation of Omega for the reduced rank VAR model |
| Usage: | omega=omerrgen(coeff,phi,sigma,h,t,ord,di,tb,te,adj,typ,ytt) | |
| Input: | ||
| coeff | matrix, the coefficients | |
| phi | matrix, | |
| sigma | vector, standard error | |
| h | integer, forecast horizon | |
| t | integer | |
| ord | integer, order of series | |
| di | integer, dimension of time series | |
| tb | integer, (time) begin | |
| te | integer, (time) end | |
| adj | scalar, 1=if adjusted, 0=if not | |
| typ | integer, describing the model type | |
| ytt | matrix, the time series | |
| Output: | ||
| omega | matrix, | |