GVAR {MultiATSM} | R Documentation |
Estimate a GVAR(1) and a VARX(1,1,1)
Description
Estimate a GVAR(1) and a VARX(1,1,1)
Usage
GVAR(GVARinputs, N)
Arguments
GVARinputs |
List containing the following necessary inputs for the estimation of the GVAR:
|
N |
number of country-specific spanned factors (scalar) |
Value
A list containing
parameters of the country-specific VARX(1,1,1)
intercept (M+Nx1);
phi_1 (M+N x M+N);
phi_1^star (M+N x M+N);
phi_g (M+N x M+N);
Sigma (M+N x G)
parameters of the GVAR.
F0 (F X 1);
F1 (F x F);
Sigma_y (F x F)
References
Chudik and Pesaran, (2016). "Theory and Practice of GVAR modelling" (Journal of Economic Surveys)
Examples
data(CM_Factors_GVAR)
N <- 3
GVARinputs <- list()
GVARinputs$Economies <- c("China", "Brazil", "Mexico", "Uruguay")
GVARinputs$GVARFactors <- FactorsGVAR
GVARinputs$VARXtype <- "unconstrained"
GVARinputs$Wgvar <- matrix( c(0, 0.83, 0.86, 0.38,
0.65, 0, 0.13, 0.55,
0.32, 0.12, 0, 0.07,
0.03, 0.05, 0.01, 0), nrow = 4, ncol = 4)
GVAR(GVARinputs, N)