Get_Sigma_JLL {MultiATSM} | R Documentation |
Compute Sigmas/Cholesky factorizations
Description
Compute Sigmas/Cholesky factorizations
Usage
Get_Sigma_JLL(JLLinputs, FacSet, Para_Ortho_Reg, Para_Ortho_VAR, N)
Arguments
JLLinputs |
List of necessary inputs to estimate JLL-based setups |
FacSet |
Set of factors used in the estimation of JLL-based setups |
Para_Ortho_Reg |
Set of parameters obtained from the JLL regressions |
Para_Ortho_VAR |
Set of parameters obtained from the VAR(1) of JLL-based models |
N |
number of country-specific spanned factors (scalar) |
[Package MultiATSM version 1.3.1 Index]