A {BigVAR}

Generator for Simulated Multivariate Time Series

Description

Coefficient matrix for a stationary simulated multivariate time series

Details

Example generator matrix adapted from Table 3.2 of Gredenhoff and Karlsson (1997)

Author(s)

Will Nicholson

References

Gredenhoff, Mikael, and Sune Karlsson. "Lag-length selection in VAR-models using equal and unequal lag-length procedures." Computational Statistics 14.2 (1999): 171-187.