addfnci | auxiliary quantlet for cointegration |
agen | auxiliary quantlet for VAR models |
aorBgen | auxiliary quantlet for full VAR model analysis |
arofva | auxiliary quantlet for full VAR model analysis |
bgen | auxiliary quantlet for full VAR model analysis |
cfc1diff | Forecasting undifferenced time series in VAR models |
chol | computes the Cholesky decomposition of a symmetric, positive definite matrix |
ciirboot | Computes two sided bootstrap confidence intervals for impulse responses for a K-dimensional VAR(p) by resampling the estimated residuals. The confidence intervals are computed using the methodology of Hall (The Bootstrap and the Edgeworth Expansion, 1992) and Efron & Tibshirani (An Introduction to the Bootstrap, 1993). |
coeffba | auxiliary quantlet for full VAR model analysis |
coeffest | estimates the coefficients of a full VAR model |
coeffss | estimates parameters of Subset VAR |
covabc | Covariance matrix of C=A*B, Reduced Rank VAR Model |
covabrr | covariance matrix A*B, reduced rank VAR model |
covarr | covariance matrix A, reduced rank VAR model |
covbrr | Covariance matrix B, reduced rank VAR Model |
covcheck | checks if the covariance matrix is singular |
covfore2 | Computes forecast MSE matrix for undiff. time series |
covforec | calculates the forecast MSE matrix for VAR models |
covmlrr | covariance matrix used for reduced rank models |
covmwgen | generates covariance matrix of the mean in VAR |
covres | auxiliary quantlet for full VAR models |
criterss | calculates selection criteria for Subset VAR |
dgenci | auxiliary quantlet for cointegration |
diagrv | replaces the diagonal of x by v |
domulti | domulti is the starting quantlet for the library multi. The user can interactively transform the data, do preliminary analysis, select the model type, etc. |
estabr | estimation of reduced rank VAR model |
evci | auxiliary quantlet for cointegration |
eye | creating a d-dimensional identity matrix |
fgenci | auxiliary quantlet for cointegration |
floatinf | provides information about real numbers within the interval [.5,0) in the form of x=a*10^b, b is bounded by -20 |
fncovci | auxiliary quantlet for cointegration |
fnrici | auxiliary quantlet for cointegration |
fnyzci | auxiliary quantlet for cointegration |
fnzzci | auxiliary quantlet for cointegration |
forec2 | Forecasting in VAR Models with undifferencing |
forecast | Forecasting in VAR Models |
gammaci | auxiliary quantlet for cointegration |
hgen | auxiliary quantlet for full VAR model analysis |
hgenrr | Generation of H for the Reduced Rank VAR Model |
impres |
Computes the forecast error impulse responses of a K-dimensional
VAR(p)-model
from the model parameters 'a' up to 't' time periods after the
shock.
|
ira |
Generation of menu system for impulse response analysis.
When calling this quantlet a system of menus will appear
on the screen that guides you through the stages of
impulse response analysis for vector autoregressive models. This quantlet defines the following pop-up menus: irairmax, iracoverage, irabootci, irayscale, iraimpulse, iraresponse, iraselectgraph, iramain, iradisplay, irainfodisplay. This quantlet defines the following auxiliary functions: vector2string, strvector2string, comparevector. The quantlet ira() communicates by one list ('m.*') with the pop-ups. The succesion of the pop-ups is controlled with two other lists ('enter.*' and 'return.*'). All lists are defined in ira(). |
itediff | calculates the i^th difference of a time series |
ivforec | Computes forecast intervals for VAR Models |
jagen | auxiliary quantlet for VAR models |
jbgen | auxiliary quantlet for full VAR model analysis |
jotaAorB | auxiliary quantlet for VAR models |
kommumat | generates a help matrix for Subset VAR models |
lgenci | auxiliary quantlet for cointegration |
modelci | general analysis for cointegration |
modelfr | general analysis for the Full VAR Model, called by the quantlet domulti |
modelrr | general analysis for the Reduced Rank VAR Model, called by the quantlet domulti |
modelss | general analysis for the Subset VAR Model, called by the quantlet domulti |
multimain | sets defaults for quantlib multi |
multiplot | Plots K-dimensional time series. |
multitest | executes some tests for the quantlets defined in multi.lib. Is invoked by vertestl(). |
normalt | multivariate normality tests |
omegagen | calculates the correction term for MSE matrix of h-step forecasts in VAR models |
omerrgen | Generation of Omega for the reduced rank VAR model |
omgenci | auxiliary quantlet for cointegration |
ones | creating a n x d dimensional matrix of ones |
phigen | auxiliary quantlet for full VAR model analysis |
portmant | calculates the multivariate portmanteau statistic |
power | calculates x to the power of exponent |
prognos2 | Forecasts of undifferenced series for VAR Models |
prognose | forecasting in VAR models |
residuen | calculates residuals for VAR models |
rev | reverts the order of the rows of the input matrix |
rgenss | generates the restriction matrix for Subset VAR |
rici | auxiliary quantlet for cointegration |
rootsci | calculates characteristic roots of VAR operator |
selec | selects rows from the matrix mat |
sfcoeff | estimates standard errors of parameter estimates |
sfvonbss | standard errors of parameters for Subset VAR |
sfvonmw | standard errors for mean in VAR models |
shiftr | Shifts the rows of a matrix |
sigma1 | auxiliary quantlet for full VAR model analysis |
sijci | auxiliary quantlet for cointegration |
simvar | computes a multidimensional autoregressive time series. |
spur | computes the trace of the matrix |
station | test for structural change (for VAR models) |
strucbru | auxiliary quantlet for multi |
varml |
computes the maximum likelihood estimates of the
model parameters (beta) and covariance (s) of residuals
of a VAR(p) model without intercept
|
varorder | standard selection criteria for Full VAR models |
varunls | computes the unconstrained least squares estimates of the model parameters (B), residuals (u), variance-covariance matrix of the residuals (s), and autocovariance matrix of the time series (g) of a K-dimensional VAR(p) model with/ without intercept |
ymulz | auxiliary matrix multiplication for least squares regression |
yzci | auxiliary quantlet for cointegration |
zgenci | auxiliary quantlet for cointegration |
zmulz | auxiliary matrix multiplication for least squares regression |
zxgen | concatenates a VAR series |
zzgenci | auxiliary quantlet for cointegration |