Function: Regress window

Syntax:

   [ret] = Regress_window(X,nlags,window_length)

Input(s):

   X              - nvar (rows) by nobs (cols) observation matrix
   nlags          - number of lags to include in model (model order)
   window_length  - window size 

Output(s):

   ret.beta    -   coefficients 
   ret.pred    -   predict 
   ret.orig    -   coefficients 
   ret.u       -   residuals
   ret.RSS     -   sum-square-error of residuals
   ret.Z       -   covariance matrix of residuals
   ret.fs      -   F-statistic  
   ret.fprob   -   probability
   ret.gc      -   Granger causality
   ret.aic     -   AIC  
   ret.bic     -   BIC

To download the code of this function please click the following link: File:Regress window.m

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