ConditionalCorrelation function

Partial Conditional Correlations

Compute partial conditional correlations

ConditionalCorrelation(Q)

Arguments

• Q: Variance-covariance matrix of dimension

Returns

Get partial conditional correlations

Examples

data("dy2012")
fit = VAR(dy2012, configuration=list(nlag=1))
pcc = ConditionalCorrelation(fit$Q)

Author(s)

David Gabauer