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: 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




Author: A. Benkwitz, 19980127
(C) MD*TECH Method and Data Technologies, 05.02.2006