Rmatrix: Improved Augmented Regression Method for Predictive...

In VAR.etp: VAR Modelling: Estimation, Testing, and Prediction

Improved Augmented Regression Method for Predictive Regression

Description

Function to generate restriction matrices

Usage

Rmatrix(p, k, type = 1, index = 0)

Arguments

p	AR order
k	number of predictors
type	type = 1: H0: b1=b2=b3=0; type = 2: H0: b1+b2+b3=0
index	index=0 : H0 applies for all parameters; index=k : H0 applies for kth predictor

Details

Function to generate restriction matrices

Value

Rmat	this value should be passed to PR.IARM
rvec	this value should be passed to PR.IARM

Author(s)

Jae H. Kim

References

Kim J.H., 2014, Predictive Regression: Improved Augmented Regression Method, Journal of Empirical Finance 25, 13-15.

Examples

Rmat1=Rmatrix(p=1,k=1,type=2,index=1); Rmat=Rmat1$Rmat; rvec=Rmat1$rvec

VAR.etp documentation built on Aug. 31, 2023, 9:08 a.m.