Gmatrices: Gmatrices
In martinbaumgaertner/varexternal: Vector autoregression with external instruments
Gmatrices R Documentation
Gmatrices
Description
Computes the derivatives of vec(C) wrt vec(A) based on Lütkepohl H. New introduction to multiple time series analysis. Springer, 2007.
Usage
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 April 27, 2022, 1:31 a.m.
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| Gmatrices | R Documentation |
Gmatrices
Description
Computes the derivatives of vec(C) wrt vec(A) based on Lütkepohl H. New introduction to multiple time series analysis. Springer, 2007.
Usage
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
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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