GVAR_Ft: Function to generate foreign variables

In GVARX: Perform Global Vector Autoregression Estimation and Inference

Function to generate foreign variables

Description

Function to generate foreign variables

Usage

GVAR_Ft(data, weight.matrix=NULL)

Arguments

data

Dataframe is a strictly balanced panel data format,the first column is cross-section ID,and the second column is Time. For the sake of identification, both columns must be named by, respectively, id and Time.

weight.matrix

Bilateral trade weight matrix for computing foreign variables. If the computation of foreign variables are weighted by one weighting matrix, weight.matrix must be a "data.frame". If the computation of foreign variables are weighted on a year-to-year basis, then weight.matrix must be a "list", with the same length as the weighting frequency. If NULL, then it computes the foreign vriables by average.

Value

Ft	Weighted foerign variables as described in GVAR

Author(s)

Ho Tsung-wu <[e-mail]>, College of Management, National Taiwan Normal University.

References

Mauro Filippo di and Pesaran H. M. (2013) The GVAR Handbook– Structure and Applications of a Macro Model of the Global Economy for Policy. Oxford University Press.

Examples

#=== Loading Data ===#
data("PriceVol")
data("tradeweight1")
data("tradeweightx")

#Generate country-specific foreign variables
Ft=GVAR_Ft(data=PriceVol,weight.matrix=tradeweight1)
k=17
head(Ft[[k]])
tail(Ft[[k]])

GVARX documentation built on Feb. 16, 2023, 10:56 p.m.