create_Fi_matrix function

Create Matrix F_i

create_Fi_matrix function generates a $(T_obs \times T_obs)$ matrix with 1's on the (i+1)-th sub-diagonal and 0's elsewhere.

create_Fi_matrix(i, T_obs)

Arguments

• i: Integer, the lag for which the matrix is constructed, corresponding to the sub-diagonal filled with 1's.
• T_obs: Integer, the number of time periods or observations in the dataset, corresponding to the dimensions of the matrix.

Returns

A $(T_obs \times T_obs)$ matrix with 1's on the (i+1)-th sub-diagonal and 0's elsewhere.

Details

Used in Portmanteau_test. The matrix $F_i$ in Lütkepohl (2005), p.158.

References

• Lütkepohl, H. (2005). New Introduction to Multiple Time Series Analysis. Springer.