shrink_Phi {MultiATSM} | R Documentation |
Killan's VAR stationarity adjustment
Description
Killan's VAR stationarity adjustment
Usage
shrink_Phi(Phi_tilde, Phi_hat, ev_restr)
Arguments
Phi_tilde |
VAR (1) bias-corrected feedback matrix from Bauer, Rudebusch and, Wu (2012) |
Phi_hat |
unrestricted VAR(1) feedback matrix |
ev_restr |
maximum eigenvalue desired in the feedback matrix after the adjustement |
Value
stationary VAR(1)
References
Bauer, Rudebusch and, Wu (2012). "Correcting Estimation Bias in Dynamic Term Structure Models".
This function is an adapted version of the"shrink_Phi" Matlab function available at Cynthia Wu's website
(https://sites.google.com/view/jingcynthiawu/).
[Package MultiATSM version 1.1.0 Index]