VARX: Estimate a VARX(1,1,1)

In MultiATSM: Multicountry Term Structure of Interest Rates Models

Estimate a VARX(1,1,1)

Description

Estimate a VARX(1,1,1)

Usage

VARX(GVARinputs, Factors_GVAR, DomLabels, StarLabels, GlobalLabels, N)

Arguments

GVARinputs	List of inputs for GVAR-based models
Factors_GVAR	list containing the set of eisk factors used in the estimation of the VARX models
DomLabels	string-based vector containing label of the domestic risk factors
StarLabels	string-based vector containing label of the star domestic risk factors
GlobalLabels	string-based vector containing label of the global risk factors
N	number of country-specific spanned factors (scalar)

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