| Sigma {multibreakeR} | R Documentation |
Sigma
Description
#compute the covariance matrix of errors as in Bai, Lumsdaine, and Stock (1998)
Usage
Sigma(mat.z, mat.y.ex, mat.beta, n.eq)
Arguments
mat.z |
A matrix of breaking and non breaking time series |
mat.y.ex |
A vectorized matrix of time series |
mat.beta |
The matrix of parameters |
n.eq |
The number of equations in the VAR system |
Value
The covariance matrix of errors
[Package multibreakeR version 0.1.0 Index]