Library: | multi |
See also: | varunls |
Quantlet: | varml | |
Description: | computes the maximum likelihood estimates of the model parameters (beta) and covariance (s) of residuals of a VAR(p) model without intercept |
Usage: | {beta,s}=varml(x,p) | |
Input: | ||
x | (p+T x K)-matrix, observations of K-dimensional time series | |
p | scalar, process order | |
Output: | ||
beta | (K x K*p) matrix, ML-estimates of the model parameters. The lagged parameter matrices are stored as B={B(1),B(2),...,B(p)} where B(i) is the parameter matrix at lag i. | |
s | (KxK)-matrix, ML-estimate of covariance matrix of residuals |