| Library: | multi |
| See also: | varunls |
| Macro: | varml | |
| Description: |
computes the maximum likelihood estimates of the
model parameters (beta) and covariance (s) of residuals
of a VAR(p) model without intercept
|
| Usage: | {beta,s}=varml(x,p) | |
| Input: | ||
| x | (p+T x K)-matrix, observations of K-dimensional time series | |
| p | scalar, process order | |
| Output: | ||
| beta | (K x K*p) matrix, ML-estimates of the model parameters. The lagged parameter matrices are stored as B={B(1),B(2),...,B(p)} where B(i) is the parameter matrix at lag i. | |
| s | (KxK)-matrix, ML-estimate of covariance matrix of residuals | |
| Library: | multi |
| See also: | varunls |