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Grocer >> VAR estimations > scstd

scstd

determines bvar function scaling factor

CALLING SEQUENCE

[scale]=scstd(y,nobs,nlag)

PARAMETERS

Input

• y = an (nobs x neqs) matrix of y-vectors in levels

• nobs = # of observations in y

• nlag = the lag length

Output

• scale = std deviation of the residuals

DESCRIPTION

Determines bvar() function scaling factor using a univariate AR model (called by bvar1() only).

EXAMPLE

scale(j,1) = scstd(ytmp,nobs,nlag);
 
// Example taken from function bvar1 (!)

AUTHOR

Eric Dubois 2002

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