| Library: | multi |
| See also: | modelrr |
| Quantlet: | covmlrr | |
| Description: | covariance matrix used for reduced rank models |
| Usage: | cov=covmlrr(ord,rang,di,tb,te,typ,ytt) | |
| Input: | ||
| ord | scalar, model order | |
| rang | scalar, rank of VAR matrix | |
| di | scalar, dimension of time series | |
| tb | scalar, beginning of sample | |
| te | scalar, beginning of sample | |
| typ | scalar, model type | |
| ytt | matrix, transformed time series | |
| Output: | ||
| cov | matrix, covariance matrix | |
| Library: | multi |
| See also: | modelrr |