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: domulti

Quantlet: hgenrr
Description: Generation of H for the Reduced Rank VAR Model

Usage: h=hgenrr(a,b,di,ord,rang)
Input:
a Matrix A (di x rk)
b Matrix B (rk x di)
di integer, dimension of time series
ord integer, order of VAR model
rang integer, rank of VAR model
Output:
h loading matrix

Example:

library("multi")

hgenrr(1|2,1~3,2,1,1)

Result:

Contents of h

[1,]        1        0        1        0 

[2,]        0        1        2        0 

[3,]        3        0        0        1 

[4,]        0        3        0        2 


Library: multi
See also: domulti

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: TP A2, CH 980408
(C) MD*TECH Method and Data Technologies, 21.9.2000