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

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

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

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