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: omerrgen

Quantlet: omegagen
Description: calculates the correction term for MSE matrix of h-step forecasts in VAR models

Usage: omega = omegagen(coeff,gam,phi,sigma,h)
Input:
coeff matrix, the coefficients
gam matrix
phi matrix
sigma vector, standard error
h integer, forecast horizon
Output:
omega matrix

Library: multi
See also: omerrgen

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 971120
(C) MD*TECH Method and Data Technologies, 21.9.2000