OrthoVAR_JLL: VAR(1) with orthogonalized factors (JLL models)
In MultiATSM: Multicountry Term Structure of Interest Rates Models
OrthoVAR_JLL R Documentation
VAR(1) with orthogonalized factors (JLL models)
Description
VAR(1) with orthogonalized factors (JLL models)
Usage
OrthoVAR_JLL(NonOrthoFactors, JLLinputs, Ortho_Set, FactLabels, N)
Arguments
NonOrthoFactors
Risk factors before the orthogonalization (FxT)
JLLinputs
List of necessary inputs to estimate JLL-based setups
Ortho_Set
Set of orthogonalized risk factors
FactLabels
Variable labels of the orthogonalized risk factors
N
number of country-specific spanned factors (scalar)
MultiATSM documentation built on April 4, 2025, 1:40 a.m.
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| OrthoVAR_JLL | R Documentation |
VAR(1) with orthogonalized factors (JLL models)
Description
VAR(1) with orthogonalized factors (JLL models)
Usage
OrthoVAR_JLL(NonOrthoFactors, JLLinputs, Ortho_Set, FactLabels, N)
Arguments
NonOrthoFactors |
Risk factors before the orthogonalization (FxT) |
JLLinputs |
List of necessary inputs to estimate JLL-based setups |
Ortho_Set |
Set of orthogonalized risk factors |
FactLabels |
Variable labels of the orthogonalized risk factors |
N |
number of country-specific spanned factors (scalar) |
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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