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: covfore2

Macro: cfc1diff
Description: Forecasting undifferenced time series in VAR models

Usage: covf=cfc1diff(hh,covyh,covu,phi,f,di)
Input:
hh scalar, forecast horizon
covyh matrix, covariance matrix of forecasts
covu matrix, covariance matrix of residuals
phi scalar, 1.96 for alpha=0.95
f matrix
di scalar, dimension of time series
Output:
yy matrix, forecast intervals

Library: multi
See also: covfore2

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: Christian Hafner 981230
(C) MD*TECH Method and Data Technologies, 28.6.1999