Get_V_tilde_BC: Compute the variance-covariance matrix after the bias...

In MultiATSM: Multicountry Term Structure of Interest Rates Models

Compute the variance-covariance matrix after the bias correction procedure

Description

Compute the variance-covariance matrix after the bias correction procedure

Usage

Get_V_tilde_BC(
  Phi_tilde,
  N,
  RiskFactors,
  GVARinputs,
  JLLinputs,
  FactorLabels,
  ModelType
)

Arguments

Phi_tilde	Feedback matrix resulting from the bias-correction procedure
N	number of country-specific spanned factors (scalar)
RiskFactors	time series of the risk factors (T x F)
GVARinputs	inputs used in the estimation of the GVAR-based models (see "GVAR" function). Default is set to NULL
JLLinputs	inputs used in the estimation of the JLL-based models (see "JLL" function). Default is set to NULL
FactorLabels	string-list based which contains the labels of all variables present in the model
ModelType	string-vector containing the label of the model to be estimated

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