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, |