VAR.etp (version 0.7)

Rmatrix: Improved Augmented Regression Method for Predictive Regression

Description

Function to generate restriction matrices

Usage

Rmatrix(p, k, type = 1, index = 0)

Arguments

p

AR order

k

number of predictors

type

type = 1: H0: b1=b2=b3=0; type = 2: H0: b1+b2+b3=0

index

index=0 : H0 applies for all parameters; index=k : H0 applies for kth predictor

Value

Rmat

this value should be passed to PR.IARM

rvec

this value should be passed to PR.IARM

Details

Function to generate restriction matrices

References

Kim J.H., 2014, Predictive Regression: Improved Augmented Regression Method, Journal of Empirical Finance 25, 13-15.

Examples

Rmat1=Rmatrix(p=1,k=1,type=2,index=1); Rmat=Rmat1$Rmat; rvec=Rmat1$rvec

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