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").