Library: | multi |
See also: | modelfr |
Quantlet: | varorder | |
Description: | standard selection criteria for Full VAR models |
Usage: | d1 = varorder(tb,te,t,di,diff,typ,ytt,outp) | |
Input: | ||
tb | integer, (time) begin | |
te | integer, (time) end | |
t | integer, number of observation time points | |
di | integer, dimension of time series | |
diff | integer, difference of lags | |
typ | integer, describing the model type | |
ytt | vector, the transformed time series | |
outp | matrix | |
Output: | ||
d1 | matrix, the estimated coefficients |