BuildGVAR function

Build the GVAR(1) from the country-specific VARX(1,1,1)

BuildGVAR(ParaVARX, GlobalPara, GVARinputs, DomLabels, GlobalLabels, N)

Arguments

• ParaVARX: Set of VARX model parameters
• GlobalPara: Set of marginal model parameters
• GVARinputs: List of inputs for GVAR-based models
• DomLabels: string-based vector containing label of the domestic risk factors
• GlobalLabels: string-based vector containing label of the global risk factors
• N: number of country-specific spanned factors (scalar)