Description Usage Arguments Value Examples
Find the long run variance of a VAR using the transition equation 'A' and shocks to observations 'Q'
1 | long_run_var(A, Q, m, p)
|
A |
Transition matrix from a VAR model in companion form |
Q |
Covariance of shocks |
m |
Number of series in the VAR |
p |
Number of lags in the VAR |
The variance matrix
1 2 |
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