totalForecastCov: Sum covariance of forecasts across all series

In dse: Dynamic Systems Estimation (Time Series Package)

Description

Sum covariance of forecasts across all series.

Usage

    totalForecastCov(obj, select=NULL)

Arguments

obj	An object as returned by forecastCov.
select	Series to be select for summation. With the default all series are selected.

Value

An object similar to that returned by forecastCov, with the covariance summed over all selected series.

Examples

data("eg1.DSE.data.diff", package="dse")
model1 <- estVARXar(eg1.DSE.data.diff)
model2 <- estVARXls(eg1.DSE.data.diff)
z <-  totalForecastCov(forecastCov(model1, model2,
                         data=trimNA(eg1.DSE.data.diff)))

dse documentation built on March 26, 2020, 7:12 p.m.