Get_V_tilde_BC {MultiATSM} | R Documentation |
Compute the variance-covariance matrix after the bias correction procedure
Description
Compute the variance-covariance matrix after the bias correction procedure
Usage
Get_V_tilde_BC(
Phi_tilde,
N,
RiskFactors,
GVARinputs,
JLLinputs,
FactorLabels,
ModelType
)
Arguments
Phi_tilde |
Feedback matrix resulting from the bias-correction procedure |
N |
number of country-specific spanned factors (scalar) |
RiskFactors |
time series of the risk factors (T x F) |
GVARinputs |
inputs used in the estimation of the GVAR-based models (see "GVAR" function). Default is set to NULL |
JLLinputs |
inputs used in the estimation of the JLL-based models (see "JLL" function). Default is set to NULL |
FactorLabels |
string-list based which contains the labels of all variables present in the model |
ModelType |
string-vector containing the label of the model to be estimated |
[Package MultiATSM version 1.3.1 Index]