geovolObj: Auxiliary function

In geovol: Geopolitical Volatility (GEOVOL) Modelling

Description

Auxiliary function used in the estimation of the GEOVOL model. Not intended for the average user.

Usage

  geovolObj(par, par.fixed, y, x, flag)

Arguments

par	scalar with the value of the parameter being estimated. If x=TRUE, par contains the value of the GEOVOL factor at time t. Otherwise, it contains the value of the GEOVOL loading for time series i.
par.fixed	numeric vector with the values of the parameters being fixed during estimation. If x=TRUE, par.fixed contains the values of the estimated GEOVOL loadings from previous iteration. Otherwise, it contains the values of the estimated GEOVOL factor from previous iteration.
y	numeric vector, time series or zoo containing the cross-section at time t if x=TRUE or the time series i if otherwise.)
x	logical. If TRUE, it estimates the value of the GEOVOL factor at time t. Otherwise, it estimates the GEOVOL loading for time series i.
flag	integer. If 0, returns a numeric vector with the values of the objective function; if 1 returns the the value of the objective function; if 2, it returns the GEOVOL scaled by the loading of series i, if x=FALSE.

Value

The values of the objective function or GEOVOL.

Author(s)

Susana Campos-Martins

See Also

geovol, fitted.geovol, residuals.geovol

geovol documentation built on July 9, 2021, 9:09 a.m.