Create [m x 1] vector of sigma^2 from supplied time series

Create [m x 1] vector of sigma^2 from supplied time series

bvar_conj_sigma2(Y_in, s2_lag = 1, carriero_hack = FALSE)

Arguments

Y_in

multivariate time series
s2_lag

number of lags to estimate sigma^2
carriero_hack

logical, if TRUE sigma^2 will be estimated using biased estimator and supposed error with no square roots in dummy observations will be reproduced FALSE by default

Value

[m x 1] vector of sigmas^2

Details

Create [m x 1] vector of sigma^2 from supplied time series

Examples

data(Yraw)
sigma2 <- bvar_conj_sigma2(Yraw)