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: coeffest

Macro: covmwgen
Description: generates covariance matrix of the mean in VAR

Usage: gh = covmwgen(covu,coeff,ord,di,adj,h,typ)
Input:
covu matrix, covariance
coeff matrix, estimated coefficients
ord integer, order of series
di integer, dimension of time series
adj integer, 1=if adjusted, 0=if not
h integer, forecast horizon
typ integer, describing the model type
Output:
gh matrix, covariance matrix

Library: multi
See also: coeffest

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

Author: Hafner, Sperlich 971203
(C) MD*TECH Method and Data Technologies, 17.8.2000