EstimationSigma_GVARrest {MultiATSM} | R Documentation |
Estimate numerically the variance-covariance matrix from the GVAR-based models
Description
Estimate numerically the variance-covariance matrix from the GVAR-based models
Usage
EstimationSigma_GVARrest(SigmaUnres, res, IdxVarRest)
Arguments
SigmaUnres |
Unrestricted variance-covariance matrix (K x K) |
res |
residuals from the VAR of a GVAR model (K x T) |
IdxVarRest |
index of the variable that is selected as strictly exogenous |
Value
restricted version of the variance-covariance matrix a GVAR model (K x K)
[Package MultiATSM version 1.1.0 Index]