CholRestrictionsJLL function

Impose the zero-restrictions on the Cholesky-factorization from JLL-based models.

Impose the zero-restrictions on the Cholesky-factorization from JLL-based models.

CholRestrictionsJLL(SigmaUnres, M, G, N, Economies, DomUnit)

Arguments

  • SigmaUnres: unrestricted variance-covariance matrix (K X K)

  • M: number of domestic unspanned factors per country (scalar)

  • G: number of global unspanned factors (scalar)

  • N: number of country-specific spanned 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.

    If no dominant unit is assigned, then this variable is defined as "none"

Returns

restricted version the Cholesky factorization matrix from JLL-based models (K x K)

  • Maintainer: Rubens Moura
  • License: GPL-2 | GPL-3
  • Last published: 2025-03-24