VAR_pcovmat

a positive integer specifying the autoregressive order of the model.

the number of time series in the system.

<code>[d, d, p]</code> array containing the AR coefficient matrices

all_Am

the dxd error term covariance matrix

Omega_m

<code>VAR_pcovmat</code> calculate the dp-dimensional covariance matrix of p consecutive
 observations of a VAR process with the algorithm proposed by McElroy (2017).

Unconstrained and constrained maximum likelihood estimation of structural and reduced form
Gaussian mixture vector autoregressive (GMVAR) model, quantile residual tests, graphical diagnostics,
simulations, forecasting, and estimation of generalized impulse response function.
Leena Kalliovirta, Mika Meitz, Pentti Saikkonen (2016) <doi:10.1016/j.jeconom.2016.02.012>,
Savi Virolainen (2020) <arXiv:2007.04713>.

VAR_pcovmat: Calculate the dp-dimensional covariance matrix of p consecutive observations of a VAR process

Description

Usage

Arguments

Value

Details

References