getNWCOEFexo {GVARX}

Extract all-country coefficient estimates with Newy-West robust covariance.

Description

Extract all-country coefficient estimates with Newy-West robust covariance.

Usage

getNWCOEFexo(out)

Arguments

out

A list object of estimation results generated by GVARest.

Value

coef

Country-specific coefficient estimates.

Author(s)

Ho Tsung-wu <[e-mail]>, College of Management, National Taiwan Normal University.

References

Newey WK and West KD (1994) Automatic Lag Selection in Covariance Matrix Estimation. Review of Economic Studies, 61, 631-653.

Examples

data("PriceVol")
data("tradeweight1")
data("tradeweightx")
p=2
FLag=2
lag.max=15
type="const"
ic="SC"
weight.matrix=tradeweightx
mainOUTPUT = GVARest(data=PriceVol,p,lag.max,type,ic,weight.matrix)
COEF=getNWCOEFexo(out=mainOUTPUT)