文件名称:varfor
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Vector Autoregression (VAR) estimation and direct forecasting with VECM. Uses Le Sage vare.m
Code embeds lrvar.m to compute LRT for optimal VAR size and compmatrix.m to find companion matrix of coefficient vectors.
Performs also in- and out-of-sample forecasting. Guido Travaglini, Università di Roma 1, jay_of_may@yahoo.com, November 2011.
-Vector Autoregression (VAR) estimation and direct forecasting with VECM. Uses Le Sage vare.m
Code embeds lrvar.m to compute LRT for optimal VAR size and compmatrix.m to find companion matrix of coefficient vectors.
Performs also in- and out-of-sample forecasting. Guido Travaglini, Università di Roma 1, jay_of_may@yahoo.com, November 2011.
Code embeds lrvar.m to compute LRT for optimal VAR size and compmatrix.m to find companion matrix of coefficient vectors.
Performs also in- and out-of-sample forecasting. Guido Travaglini, Università di Roma 1, jay_of_may@yahoo.com, November 2011.
-Vector Autoregression (VAR) estimation and direct forecasting with VECM. Uses Le Sage vare.m
Code embeds lrvar.m to compute LRT for optimal VAR size and compmatrix.m to find companion matrix of coefficient vectors.
Performs also in- and out-of-sample forecasting. Guido Travaglini, Università di Roma 1, jay_of_may@yahoo.com, November 2011.
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varfor.m