DataSet_BS: Prepare the factor set for GVAR models (Bootstrap version)

In MultiATSM: Multicountry Term Structure of Interest Rates Models

Prepare the factor set for GVAR models (Bootstrap version)

Description

Prepare the factor set for GVAR models (Bootstrap version)

Usage

DataSet_BS(ModelType, RiskFactors, Wgvar, Economies, FactorLabels)

Arguments

ModelType	A character vector containing the label of the model to be estimated.
RiskFactors	A matrix of the complete set of risk factors (K x T).
Wgvar	A transition matrix from GVAR models (C x C).
Economies	A character vector containing the names of the economies included in the system.
FactorLabels	A list of character vectors with labels for all variables in the model.

Value

A list containing the factor set for GVAR models.

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