estimate_error_covariances: Estimate the covariance matrices given filtered probabilities...

Description Usage Arguments Value

Description

Estimate the covariance matrices given filtered probabilities and other model parameters.

Usage

1
estimate_error_covariances(Phi, beta, Z, regprobs, H, h)

Arguments

Phi

list, a list with the regime specific least squares matrices

beta

matrix, a matrix with the cointegration vectors

Z

list, a list with the data matrices

regprobs

list, a list with vectors regime probabilities

H

matrix, the restriction matrix

Value

the vectorized version of Omega


EmilNejst/rscivem documentation built on May 21, 2019, 1:41 p.m.