estimate_least_squares: Estimate least squares parameters alpha and Gamma

In EmilNejst/rscivem:

Description

Estimate least squares parameters alpha and Gamma

Usage

estimate_least_squares(Z, beta, Omega, regprobs, H, h)

Arguments

Z	list, the standard matrices Z0, Z1 and Z2
beta	matrix, the matrix of cointegration relations
Omega	list, a list of matrices corresponding to the error covariance matrices by regime
regprobs	list, a list with vectors of regime probabilities
H	matrix, a matrix with the linear restrictions
h	vector, the normalizing vector for linear restrictions

Value

the vector Phi with estimated least squares parameters.

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