EstimationSigma_Ye {MultiATSM} | R Documentation |
Estimate numerically the Cholesky-factorization from the JLL-based models
Description
Estimate numerically the Cholesky-factorization from the JLL-based models
Usage
EstimationSigma_Ye(SigmaUnres, res, M, G, Economies, DomUnit)
Arguments
SigmaUnres |
unrestricted variance-covariance matrix (K x K) |
res |
residuals from the VAR of the JLL model (K x T) |
M |
number of domestic unspanned factors per country (scalar) |
G |
number of global unspanned factors (scalar) |
Economies |
string-vector containing the names of the economies which are part of the economic system |
DomUnit |
Name of the economy which is assigned as the dominant unit. |
Value
Cholesky-factorization after the maximization (K x K)
[Package MultiATSM version 1.1.0 Index]