GFEVDjointOrthoJLL {MultiATSM} | R Documentation |
Orthogonalized GFEVDs for JLL models
Description
Orthogonalized GFEVDs for JLL models
Usage
GFEVDjointOrthoJLL(ModelType, ModelPara, GFEVDhoriz, FactorLabels, Economies)
Arguments
ModelType |
a string-vector containing the label of the model to be estimated |
ModelPara |
List of model parameter estimates (See the "Optimization" function) |
GFEVDhoriz |
single numerical vector conataining the desired horizon of analysis for the GFEVDs |
FactorLabels |
a string-list based which contains all the labels of all the variables present in the model |
Economies |
a string-vector containing the names of the economies which are part of the economic system |
References
This function is a modified and extended version of the "fevd" function from Smith, L.V. and A. Galesi (2014). GVAR Toolbox 2.0, available at https://sites.google.com/site/gvarmodelling/gvar-toolbox.
Pesaran and Shin, 1998. "Generalized impulse response analysis in linear multivariate models" (Economics Letters)
[Package MultiATSM version 1.1.0 Index]