Keywords - Function groups - @ A B C D E F G H I J K L M N O P Q R S T U V W X Y Z

Library: multi
See also: strucbru

Quantlet: station
Description: test for structural change (for VAR models)

Usage: d=station(forec,phi,icovu,covh,di,ord,te,t,h,ytt,outp)
Input:
forec matrix
phi matrix
icovu matrix
covh matrix
di integer, dimension of time series
ord vector, order of series
te integer, (time) end
t integer, number of observation time points
h integer, forecast horizon
ytt vector, the transformed time series
outp matrix
Output:
d matrix




Author: C. Hafner, S. Sperlich, W. Haerdle, 19971212 license MD*Tech
(C) MD*TECH Method and Data Technologies, 05.02.2006