averageCORgvar: Comparing average residual correlations.
In GVARX: Perform Global Vector Autoregression Estimation and Inference

averageCORgvar

R Documentation

Comparing average residual correlations.

Description

Average pairwise cross-section residual correlations.

Usage

averageCORgvar(out)

Arguments

out

Estimation results object generated by GVARest

Details

This function compares the dependency of residuals in VAR and GVAR.

Value

`varRSDcor`	A list object of average residual correlations of country-specific VAR
`gvarRSDcor`	A list object of average residual correlations of country-specific VAR augmented by foreign variables(GVAR)

Author(s)

Ho Tsung-wu <tsungwu@ntnu.edu.tw>, 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

data("PriceVol")
data("tradeweight1")
data("tradeweightx")
p=2
FLag=2
lag.max=15
type="const"
ic="SC"
weight.matrix=tradeweightx
mainOUTPUT = GVARest(data=PriceVol,p,lag.max,type,ic,weight.matrix)

cor2_avg=averageCORgvar(out=mainOUTPUT)
as.matrix((cor2_avg$varRSDcor)[[1]])
as.matrix((cor2_avg$varRSDcor)[[2]])

as.matrix(cor2_avg$gvarRSDcor[[1]])
as.matrix(cor2_avg$gvarRSDcor[[2]])

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