genVARbrw: Generate M data sets from VAR(1) model
In MultiATSM: Multicountry Term Structure of Interest Rates Models
View source: R/BiasCorrection.R
genVARbrw R Documentation
Generate M data sets from VAR(1) model
Description
Generate M data sets from VAR(1) model
Usage
genVARbrw(Phi, M, RiskFactors)
Arguments
Phi
feedback matrix (F x F)
M
number of Monte Carlo replications
RiskFactors
time series of the risk factors (T x F)
References
Bauer, Rudebusch and, Wu (2012). "Correcting Estimation Bias in Dynamic Term Structure Models".
This function is based on to the"genVAR" 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.
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View source: R/BiasCorrection.R
| genVARbrw | R Documentation |
Generate M data sets from VAR(1) model
Description
Generate M data sets from VAR(1) model
Usage
genVARbrw(Phi, M, RiskFactors)
Arguments
Phi |
feedback matrix (F x F) |
M |
number of Monte Carlo replications |
RiskFactors |
time series of the risk factors (T x F) |
References
Bauer, Rudebusch and, Wu (2012). "Correcting Estimation Bias in Dynamic Term Structure Models".
This function is based on to the"genVAR" Matlab function available at Cynthia Wu's website
(https://sites.google.com/view/jingcynthiawu/).
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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