From c6c605030b91cdaa1851c2a3e6e431ad1d118c27 Mon Sep 17 00:00:00 2001
From: Suraj Yerramilli
Date: Tue, 26 May 2015 09:01:16 +0530
Subject: Added code to compute standard errors

---
 R/impulse.R | 8 ++++----
 1 file changed, 4 insertions(+), 4 deletions(-)

diff --git a/R/impulse.R b/R/impulse.R
index ca60c04..716c279 100644
--- a/R/impulse.R
+++ b/R/impulse.R
@@ -29,13 +29,13 @@ impulseest <- function(data,M=30,K=0){
   
   # Fit Linear Model and find standard errors
   fit <- lm(Y~Z-1)
-  #df <- nrow(Z)-ncol(Z);sigma2 <- resid(fit)^2/df
-  #vcov <- sigma2 * inv(t(Z)*Z)
-  #se <- sqrt(diag(vcov))
+  df <- nrow(Z)-ncol(Z);sigma2 <- sum(resid(fit)^2)/df
+  vcov <- sigma2 * solve(t(Z)%*%Z)
+  se <- sqrt(diag(vcov))
   
   
   out <- list(coefficients=coef(fit),residuals=resid(fit),lags=K:(M+K),
-              x=colnames(data$input),y=colnames(data$output))
+              x=colnames(data$input),y=colnames(data$output),se = se,df=df)
   class(out) <- "impulseest"
   return(out)
 }
-- 
cgit