Keywords
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Function groups
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Library:
multi
See also:
domulti
Quantlet:
sigma1
Description:
auxiliary quantlet for full VAR model analysis
Usage:
s2 = sigma1(phi, sigma, h)
Input:
phi
matrix
sigma
vector, standard error
h
integer, forecast horizon
Output:
s2
matrix
Author:
C. Hafner, S. Sperlich, W. Haerdle, 19971212 license MD*Tech
(C) MD*TECH Method and Data Technologies, 05.02.2006