vech function

Version 1.0.0.0 (522 octets) par BINH PHAM
The equivalent vech function in Lutkepohl (2005) textbook.
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Mise à jour 15 fév. 2018

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The equivalent "vech" function in Gauss or elsewhere in the econometrics textbook, especially in Lutkepohl (2005) as well as Kilian & Lutkepohl (2017) SVAR.
It merely returns the elements on and below the diagonal, then stacks column-by-column. There is another function "vechmd" in the community dealing with 3 or 4-dimensional matrix, but I think it should be the original one for ease to code VAR/SVAR estimation.

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BINH PHAM (2024). vech function (https://www.mathworks.com/matlabcentral/fileexchange/66077-vech-function), MATLAB Central File Exchange. Récupéré le .

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Version Publié le Notes de version
1.0.0.0