BuildGVAR: Build the GVAR(1) from the country-specific VARX(1,1,1)

In MultiATSM: Multicountry Term Structure of Interest Rates Models

Build the GVAR(1) from the country-specific VARX(1,1,1)

Description

Build the GVAR(1) from the country-specific VARX(1,1,1)

Usage

BuildGVAR(ParaVARX, GlobalPara, GVARinputs, DomLabels, GlobalLabels, N)

Arguments

ParaVARX	Set of VARX model parameters
GlobalPara	Set of marginal model parameters
GVARinputs	List of inputs for GVAR-based models
DomLabels	string-based vector containing label of the domestic risk factors
GlobalLabels	string-based vector containing label of the global risk factors
N	number of country-specific spanned factors (scalar)

MultiATSM documentation built on June 8, 2025, 1:59 p.m.