ComputeGFEVDs function

Compute GFEVDs for all models

ComputeGFEVDs(
  SIGMA,
  K1Z,
  G0,
  BLoad,
  FactorLabels,
  FacDim,
  MatLength,
  GFEVDhoriz,
  YieldsLabel,
  ModelType,
  Economy,
  PI = NULL,
  Mode = FALSE
)

Arguments

• SIGMA: Variance-covariance matrix
• K1Z: Loading As
• G0: contemporaneous terms
• BLoad: Loading Bs
• FactorLabels: List containing the label of factors
• FacDim: Dimension of the P-dynamics
• MatLength: Length of the maturity vector
• GFEVDhoriz: Horizon of the analysis
• YieldsLabel: Label of bond yields
• ModelType: Desired model type
• Economy: specific economy under study
• PI: matrix PI for JLL-based models
• Mode: allows for the orthogonalized version in the case of JLL-based models

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)