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 macro for cointegration
agen auxiliary macro for VAR models
aorBgen auxiliary macro for full VAR model analysis
arofva auxiliary macro for full VAR model analysis
bgen auxiliary macro for full VAR model analysis
cfc1diff Forecasting undifferenced time series in VAR models
chol computes the Cholesky decomposition of a symmetric, positive definite matrix
coeffba auxiliary macro 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 macro for full VAR models
criterss calculates selection criteria for Subset VAR
dgenci auxiliary macro for cointegration
diagrv replaces the diagonal of x by v
domulti domulti is the starting macro 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 macro for cointegration
eye creating a d-dimensional identity matrix
fgenci auxiliary macro 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 macro for cointegration
fnrici auxiliary macro for cointegration
fnrici2 auxiliary macro for cointegration
fnyzci auxiliary macro for cointegration
fnzzci auxiliary macro for cointegration
forec2 Forecasting in VAR Models with undifferencing
forecast Forecasting in VAR Models
gammaci auxiliary macro for cointegration
hgen auxiliary macro for full VAR model analysis
hgenrr Generation of H for the Reduced Rank VAR Model
itediff calculates the i^th difference of a time series
ivforec Computes forecast intervals for VAR Models
jagen auxiliary macro for VAR models
jbgen auxiliary macro for full VAR model analysis
jotaAorB auxiliary macro for VAR models
kommumat generates a help matrix for Subset VAR models
lgenci auxiliary macro for cointegration
modelci general analysis for cointegration
modelfr general analysis for the Full VAR Model, called by the macro domulti
modelrr general analysis for the Reduced Rank VAR Model, called by the macro domulti
modelss general analysis for the Subset VAR Model, called by the macro domulti
multimain sets defaults for library multi
multitest executes some tests for the macros 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 macro for cointegration
ones creating a n x d dimensional matrix of ones
phigen auxiliary macro 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 macro 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 macro for full VAR model analysis,
sijci auxiliary macro for cointegration
simvar simvar() computes a multidimensional autoregressive time series.
spur computes the trace of the matrix
station test for structural change (for VAR models)
strucbru auxiliary macro for multi
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 macro for cointegration
zgenci auxiliary macro for cointegration
zmulz auxiliary matrix multiplication for least squares regression
zxgen concatenates a VAR series
zzgenci auxiliary macro 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, 28.6.1999