public class VECMLongrun extends VECM
Constructor and Description |
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VECMLongrun(Matrix pi,
Matrix[] gamma,
Matrix psi,
Matrix sigma)
Construct a long-run VECM(p) model with zero-intercept (mu).
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VECMLongrun(VARXModel varx)
Construct a long-run VECM(p) from a VARX(p).
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VECMLongrun(VECMLongrun that)
Copy constructor.
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VECMLongrun(Vector mu,
Matrix pi,
Matrix[] gamma,
Matrix psi,
Matrix sigma)
Construct a long-run VECM(p) model.
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public VECMLongrun(Vector mu, Matrix pi, Matrix[] gamma, Matrix psi, Matrix sigma)
mu
- the intercept (constant) vectorpi
- the impact matrixgamma
- the AR coefficients of the lagged differences; null
if p = 1psi
- the coefficients of the deterministic terms (excluding the intercept term)sigma
- the white noise covariance matrixpublic VECMLongrun(Matrix pi, Matrix[] gamma, Matrix psi, Matrix sigma)
pi
- the impact matrixgamma
- the AR coefficients of the lagged differences; null
if p = 1psi
- the coefficients of the deterministic terms (excluding the intercept term)sigma
- the white noise covariance matrixpublic VECMLongrun(VARXModel varx)
varx
- a VARX modelpublic VECMLongrun(VECMLongrun that)
that
- a long-run VECM modelCopyright © 2010-2020 NM FinTech Ltd.. All Rights Reserved.