StarFactors: Generates the star variables necessary for the GVAR...

In MultiATSM: Multicountry Term Structure of Interest Rates Models

Generates the star variables necessary for the GVAR estimation

Description

Generates the star variables necessary for the GVAR estimation

Usage

StarFactors(RiskFactors, Economies, W)

Arguments

RiskFactors	time series of the risk factors (F x T)
Economies	string-vector containing the names of the economies which are part of the economic system
W	GVAR transition matrix (C x C)

Value

List containg the star factors of each country of the economic system

Examples

data(CM_Factors)
Economies <- c("China", "Brazil", "Mexico", "Uruguay")
Wgvar <- matrix( c(0, 0.83, 0.86, 0.38, 0.65, 0, 0.13, 0.55,
         0.32, 0.12, 0, 0.07, 0.03, 0.05, 0.01, 0), nrow = 4, ncol = 4,
         dimnames = list(Economies, Economies))
SF <- StarFactors(RiskFactors, Economies, Wgvar)

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