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: modelci

Quantlet: fncovci
Description: auxiliary quantlet for cointegration

Usage: covci =fncovci(f,covu,om,c,di,ord,rk)
Input:
f matrix,
covu matrix, covariance
om matrix,
c vector,
di integer, dimension of time series
ord integer, order of series
rk integer, rank of matrix (dimension-cointegration rank)
Output:
covci matrix, covariance matrix

Library: multi
See also: modelci

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, Stefan Sperlich 971215
(C) MD*TECH Method and Data Technologies, 21.9.2000