| Library: | multi |
| See also: | domulti |
| Macro: | covforec | |
| Description: | calculates the forecast MSE matrix for VAR models |
| Usage: | covf=covforec(a,cova,covu,ord,adj,tb,te,h,typ,ytt) | |
| Input: | ||
| a | matrix, parameters | |
| cova | matrix, covariance matrix of parameters | |
| covu | matrix, covariance matrix of residuals | |
| ord | vector, order of series | |
| adj | scalar, 1=if adjusted, 0=if not | |
| tb | integer, (time) begin | |
| te | integer, (time) end | |
| h | integer, forecast horizon | |
| typ | integer, indicating the model type | |
| ytt | vector, the transformed time series | |
| Output: | ||
| covf | matrix, forecast MSE | |
| Library: | multi |
| See also: | domulti |