nts.omega | R Documentation |
Determine Omega, conditional on alpha,beta and gamma
nts.omega(Y, X, Z, gamma, beta, alpha, rho)
Y |
Response Time Series |
X |
Time Series in Differences |
Z |
Time Series in Levels |
gamma |
Estimate of the short-run effects |
beta |
Estimate of the cointegrating vector |
alpha |
Estimate of the adjustment coefficients |
rho |
A single or multiple values for the tuning parameter rho for the glasso algorithm. |
The omega matrix as estimated with glasso, and the selected value for rho.
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