Create [m x 1] vector of sigma^2 from supplied time series
bvar_conj_sigma2(Y_in, s2_lag = 1, carriero_hack = FALSE)
Y_in | multivariate time series |
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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 |
[m x 1] vector of sigmas^2
Create [m x 1] vector of sigma^2 from supplied time series
data(Yraw) sigma2 <- bvar_conj_sigma2(Yraw)