Get_G0G1Sigma: Get the intercept, feedback matrix and the...
In MultiATSM: Multicountry Term Structure of Interest Rates Models
Get_G0G1Sigma R Documentation
Get the intercept, feedback matrix and the variance-covariance matrix from GVAR without global factors
Description
Get the intercept, feedback matrix and the variance-covariance matrix from GVAR without global factors
Usage
Get_G0G1Sigma(ParaVARX, GVARinputs, Ai0, Ai1, Wi)
Arguments
ParaVARX
Set of VARX model parameters
GVARinputs
List of inputs for GVAR-based models
Ai0
list containing the country-specific intercepts
Ai1
list containing the country-specific feedback matrices
Wi
list containing the country-specific link matrices
MultiATSM documentation built on April 4, 2025, 1:40 a.m.
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| Get_G0G1Sigma | R Documentation |
Get the intercept, feedback matrix and the variance-covariance matrix from GVAR without global factors
Description
Get the intercept, feedback matrix and the variance-covariance matrix from GVAR without global factors
Usage
Get_G0G1Sigma(ParaVARX, GVARinputs, Ai0, Ai1, Wi)
Arguments
ParaVARX |
Set of VARX model parameters |
GVARinputs |
List of inputs for GVAR-based models |
Ai0 |
list containing the country-specific intercepts |
Ai1 |
list containing the country-specific feedback matrices |
Wi |
list containing the country-specific link matrices |
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.
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