EstimationSigma_GVARrest: Estimate numerically the variance-covariance matrix from the...
In MultiATSM: Multicountry Term Structure of Interest Rates Models
EstimationSigma_GVARrest R Documentation
Estimate numerically the variance-covariance matrix from the GVAR-based models
Description
Estimate numerically the variance-covariance matrix from the GVAR-based models
Usage
EstimationSigma_GVARrest(SigmaUnres, res, IdxVarRest)
Arguments
SigmaUnres
Unrestricted variance-covariance matrix (K x K)
res
residuals from the VAR of a GVAR model (K x T)
IdxVarRest
index of the variable that is selected as strictly exogenous
Value
restricted version of the variance-covariance matrix a GVAR model (K x K)
MultiATSM documentation built on June 8, 2025, 1:59 p.m.
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
| EstimationSigma_GVARrest | R Documentation |
Estimate numerically the variance-covariance matrix from the GVAR-based models
Description
Estimate numerically the variance-covariance matrix from the GVAR-based models
Usage
EstimationSigma_GVARrest(SigmaUnres, res, IdxVarRest)
Arguments
SigmaUnres |
Unrestricted variance-covariance matrix (K x K) |
res |
residuals from the VAR of a GVAR model (K x T) |
IdxVarRest |
index of the variable that is selected as strictly exogenous |
Value
restricted version of the variance-covariance matrix a GVAR model (K x K)
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
Embedding an R snippet on your website
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.