DataSet_BS function

Prepare the factor set for GVAR models (Bootstrap version)

DataSet_BS(ModelType, RiskFactors, Wgvar, Economies, FactorLabels)

Arguments

• ModelType: A character vector containing the label of the model to be estimated.
• RiskFactors: A matrix of the complete set of risk factors (K x T).
• Wgvar: A transition matrix from GVAR models (C x C).
• Economies: A character vector containing the names of the economies included in the system.
• FactorLabels: A list of character vectors with labels for all variables in the model.

Returns

A list containing the factor set for GVAR models.