Beta {multibreakeR}

Beta

Description

#Compute the matrix of parameters and the covariance matrix of errors in OLS, FGLS, or IGLS mode.

Usage

Beta(mat.z, mat.y.ex, n.eq, p, est.mode, iter)

Arguments

mat.z

A matrix object of time series, regressor matrix

mat.y.ex

A matrix object of time series, regressor matrix

n.eq

number of equations in the VAR

p

number of observations

est.mode

estimation mode: "OLS", "FGLS", or "IGLS"

iter

If "IGLS" is used, how many iterations before stopping

Value

A list with the matrix of beta parameters as first element and the covariance matrix of error as second element.