A: Generator for Simulated Multivariate Time Series
Description
Coefficient matrix for a stationary simulated multivariate time series
Arguments
Author
Will Nicholson
Details
Example generator matrix adapted from Table 3.2 of Gredenhoff and Karlsson (1997)
References
Gredenhoff, Mikael, and Sune Karlsson. "Lag-length selection in VAR-models using equal and unequal lag-length procedures." Computational Statistics 14.2 (1999): 171-187.