Beta | R Documentation |
#Compute the matrix of parameters and the covariance matrix of errors in OLS, FGLS, or IGLS mode.
Beta(mat.z, mat.y.ex, n.eq, p, est.mode, iter)
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 |
A list with the matrix of beta parameters as first element and the covariance matrix of error as second element.
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