estVARbrw: Estimate a VAR(1) - suited to Bauer, Rudebusch and Wu (2012)...

In MultiATSM: Multicountry Term Structure of Interest Rates Models

Estimate a VAR(1) - suited to Bauer, Rudebusch and Wu (2012) methodology

Description

Estimate a VAR(1) - suited to Bauer, Rudebusch and Wu (2012) methodology

Usage

estVARbrw(
  RiskFactors,
  ModelType,
  N,
  GVARinputs,
  JLLinputs,
  FactorLabels,
  Economies,
  demean = FALSE,
  intercept = TRUE
)

Arguments

RiskFactors	time series of the risk factors (T x F)
ModelType	string-vector containing the label of the model to be estimated
N	number of country-specific spanned factors (scalar)
GVARinputs	inputs used in the estimation of the GVAR-based models (see "GVAR" function)
JLLinputs	inputs used in the estimation of the JLL-based models (see "JLL" function)
FactorLabels	string-list based which contains the labels of all variables present in the model
Economies	string-vector containing the names of the economies which are part of the economic system
demean	demean the data before estimation. Default is set to FALSE
intercept	Include intercept in the VAR model. Default is set to TRUE

Value

list containing VAR(1) parameters #'

1. Gamma_hat: feedback matrix (F X F)

2. alpha_hat: intercept (F x 1)

#'@references Bauer, Rudebusch and, Wu (2012). "Correcting Estimation Bias in Dynamic Term Structure Models".
This function is similar to the "estVAR" Matlab function available at Cynthia Wu's website (https://sites.google.com/view/jingcynthiawu/).

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