Gmatrices: Gmatrices

Description Usage Arguments Value See Also

View source: R/Gmatrices.R

Description

Computes the derivatives of vec(C) wrt vec(A) based on Lütkepohl H. New introduction to multiple time series analysis. Springer, 2007.

Usage

1
Gmatrices(AL, C, p, hori, n)

Arguments

AL

VAR model coefficients

C

MA representation coefficients

p

lag order

hori

forecast horizon

n

number of variables

Value

G: derivatives of C wrt A

See Also

https://pdfs.semanticscholar.org/3e18/3a5ec97ff636363e4deedff7eaeee9d894c9.pdf


martinbaumgaertner/varexternal documentation built on Nov. 20, 2019, 11:28 p.m.