Rmatrix

Function to generate restriction matrices

A collection of the functions for estimation, hypothesis testing, prediction for stationary vector autoregressive models.

Jae Kim

VAR.etp

VAR Modelling: Estimation, Testing, and Prediction

Rmatrix function

<dl> <dt>p</dt>
<dd>AR order</dd> <dt>k</dt>
<dd>number of predictors</dd>
 
 <dt>type</dt>
<dd>type = 1: H0: b1=b2=b3=0; type = 2: H0: b1+b2+b3=0</dd> <dt>index</dt>
<dd>index=0 : H0 applies for all parameters; index=k : H0 applies for kth predictor</dd></dl>

Arguments

Author

Improved Augmented Regression Method for Predictive Regression — Rmatrix

<dl>

 <dt>p</dt>
<dd>AR order</dd>

 <dt>k</dt>
<dd>number of predictors</dd>
 
 <dt>type</dt>
<dd>type = 1: H0: b1=b2=b3=0; type = 2: H0: b1+b2+b3=0</dd>

 <dt>index</dt>
<dd>index=0 : H0 applies for all parameters; index=k : H0 applies for kth predictor</dd>

</dl>

Rmatrix: Improved Augmented Regression Method for Predictive Regression

Description

Usage

Value

Arguments

Author

Details

References

Examples