ComputeGFEVDs: Compute GFEVDs for all models
In MultiATSM: Multicountry Term Structure of Interest Rates Models

ComputeGFEVDs

R Documentation

Compute GFEVDs for all models

Description

Compute GFEVDs for all models

Usage

ComputeGFEVDs(
  SIGMA,
  K1Z,
  G0,
  BLoad,
  FactorLabels,
  FacDim,
  MatLength,
  GFEVDhoriz,
  YieldsLabel,
  ModelType,
  Economy,
  PI = NULL,
  Mode = FALSE
)

Arguments

`SIGMA`	Variance-covariance matrix
`K1Z`	Loading As
`G0`	contemporaneous terms
`BLoad`	Loading Bs
`FactorLabels`	List containing the label of factors
`FacDim`	Dimension of the P-dynamics
`MatLength`	Length of the maturity vector
`GFEVDhoriz`	Horizon of the analysis
`YieldsLabel`	Label of bond yields
`ModelType`	Desired model type
`Economy`	specific economy under study
`PI`	matrix PI for JLL-based models
`Mode`	allows for the orthogonalized version in the case of JLL-based models

References

This function is a modified and extended version of the "fevd" function from Smith, L.V. and A. Galesi (2014). GVAR Toolbox 2.0, available at https://sites.google.com/site/gvarmodelling/gvar-toolbox.
Pesaran and Shin, 1998. "Generalized impulse response analysis in linear multivariate models" (Economics Letters)

MultiATSM documentation built on April 4, 2025, 1:40 a.m.