ComputeGFEVDs {MultiATSM} | R Documentation |
Compute GFEVDs for all models
Description
Compute GFEVDs for all models
Usage
ComputeGFEVDs(
SIGMA,
K1Z,
G0,
BLoad,
FactorLabels,
FacDim,
MatLength,
GFEVDhoriz,
YieldsLabel,
ModelType,
Economy,
PI = NULL,
Mode = FALSE
)
Arguments
SIGMA |
Variance-covariance matrix |
K1Z |
Loading As |
G0 |
contemporaneous terms |
BLoad |
Loading Bs |
FactorLabels |
List containing the label of factors |
FacDim |
Dimension of the P-dynamics |
MatLength |
Length of the maturity vector |
GFEVDhoriz |
Horizon of the analysis |
YieldsLabel |
Label of bond yields |
ModelType |
Desired model type |
Economy |
specific economy under study |
PI |
matrix PI for JLL-based models |
Mode |
allows for the orthogonalized version in the case of JLL-based models |
References
This function is a modified and extended version of the "fevd" function from Smith, L.V. and A. Galesi (2014). GVAR Toolbox 2.0, available at https://sites.google.com/site/gvarmodelling/gvar-toolbox.
Pesaran and Shin, 1998. "Generalized impulse response analysis in linear multivariate models" (Economics Letters)
[Package MultiATSM version 1.3.1 Index]