Find the rotation matrix Q that maximizes fevd over the given frequencies for the target variable. — id_fevdtd_findq • fevdid

Find the rotation matrix Q that maximizes fevd over the given frequencies for the target variable.

Usage

id_fevdtd_findq(betas, sigma, target_index, horizon)

Arguments

betas: matrix of coeffecients from VAR
sigma: variance-covariance matrix from VAR
target_index: index of variable to target
horizon: integer vector (can be length 1) of the horizon to maximize

Value

matrix q