genVARbrw {MultiATSM} | R Documentation |
Generate M data sets from VAR(1) model
Description
Generate M data sets from VAR(1) model
Usage
genVARbrw(Phi, M, RiskFactors)
Arguments
Phi |
feedback matrix (F x F) |
M |
number of Monte Carlo replications |
RiskFactors |
time series of the risk factors (T x F) |
References
Bauer, Rudebusch and, Wu (2012). "Correcting Estimation Bias in Dynamic Term Structure Models".
This function is based on to the"genVAR" Matlab function available at Cynthia Wu's website
(https://sites.google.com/view/jingcynthiawu/).
[Package MultiATSM version 1.1.0 Index]