Beta: Beta

In multibreakeR: Tests for a Structural Change in Multivariate Time Series

Beta

Description

#Compute the matrix of parameters and the covariance matrix of errors in OLS, FGLS, or IGLS mode.

Usage

Beta(mat.z, mat.y.ex, n.eq, p, est.mode, iter)

Arguments

mat.z	A matrix object of time series, regressor matrix
mat.y.ex	A matrix object of time series, regressor matrix
n.eq	number of equations in the VAR
p	number of observations
est.mode	estimation mode: "OLS", "FGLS", or "IGLS"
iter	If "IGLS" is used, how many iterations before stopping

Value

A list with the matrix of beta parameters as first element and the covariance matrix of error as second element.

multibreakeR documentation built on May 31, 2023, 6:06 p.m.