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

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