MultiATSM (version 1.3.0)

estVARbrw: Estimate a VAR(1) - suited to Bauer, Rudebusch and Wu (2012) methodology

Description

Estimate a VAR(1) - suited to Bauer, Rudebusch and Wu (2012) methodology

Usage

estVARbrw(
  RiskFactors,
  ModelType,
  N,
  GVARinputs,
  JLLinputs,
  FactorLabels,
  Economies,
  demean = FALSE,
  intercept = TRUE
)

Value

list containing VAR(1) parameters #'

1. Gamma_hat: feedback matrix (F X F)

2. alpha_hat: intercept (F x 1)

#'@references Bauer, Rudebusch and, Wu (2012). "Correcting Estimation Bias in Dynamic Term Structure Models".

This function is similar to the "estVAR" Matlab function available at Cynthia Wu's website (https://sites.google.com/view/jingcynthiawu/).

Arguments

RiskFactors

time series of the risk factors (T x F)

ModelType

string-vector containing the label of the model to be estimated

N

number of country-specific spanned factors (scalar)

GVARinputs

inputs used in the estimation of the GVAR-based models (see "GVAR" function)

JLLinputs

inputs used in the estimation of the JLL-based models (see "JLL" function)

FactorLabels

string-list based which contains the labels of all variables present in the model

Economies

string-vector containing the names of the economies which are part of the economic system

demean

demean the data before estimation. Default is set to FALSE

intercept

Include intercept in the VAR model. Default is set to TRUE