MultiATSM (version 1.3.0)

StarFactors: Generates the star variables necessary for the GVAR estimation

Description

Generates the star variables necessary for the GVAR estimation

Usage

StarFactors(RiskFactors, Economies, W)

Value

List containg the star factors of each country of the economic system

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)

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,
         dimnames = list(Economies, Economies))
SF <- StarFactors(RiskFactors, Economies, Wgvar)