var_normalise

Normalise VAR coefficients

Syntax

   [A,SIG] = var_normalise(A,SIG)

Arguments

See also Common variable names and data structures.

input

   A          VAR coefficients matrix
   SIG        residuals covariance matrix

output

   A          normalised VAR coefficients matrix
   SIG        normalised residuals covariance matrix

Description

Normalise VAR coefficients matrix A and residuals covariance matrix SIG so that residuals have unit variance (are "Studentised").