OrthoVAR_JLL {MultiATSM} | R Documentation |
VAR(1) with orthogonalized factors (JLL models)
Description
VAR(1) with orthogonalized factors (JLL models)
Usage
OrthoVAR_JLL(NonOrthoFactors, JLLinputs, Ortho_Set, FactLabels, N)
Arguments
NonOrthoFactors |
Risk factors before the orthogonalization (FxT) |
JLLinputs |
List of necessary inputs to estimate JLL-based setups |
Ortho_Set |
Set of orthogonalized risk factors |
FactLabels |
Variable labels of the orthogonalized risk factors |
N |
number of country-specific spanned factors (scalar) |
[Package MultiATSM version 1.1.0 Index]