StarFactors {MultiATSM} | R Documentation |
Generates the star variables necessary for the GVAR estimation
Description
Generates the star variables necessary for the GVAR estimation
Usage
StarFactors(RiskFactors, Economies, W)
Arguments
RiskFactors |
time series of the risk factors (F x T) |
Economies |
string-vector containing the names of the economies which are part of the economic system |
W |
GVAR transition matrix (C x C) |
Value
List containg the star factors of each country of the economic system
Examples
data(CM_Factors)
Economies <- c("China", "Brazil", "Mexico", "Uruguay")
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)
rownames(Wgvar) <- Economies
colnames(Wgvar) <- Economies
StarFactors(RiskFactors, Economies, Wgvar)
[Package MultiATSM version 0.3.6 Index]