EstimationSigma_GVARrest function

Estimate numerically the variance-covariance matrix from the GVAR-based models

EstimationSigma_GVARrest(SigmaUnres, res, IdxVarRest)

Arguments

• SigmaUnres: Unrestricted variance-covariance matrix (K x K)
• res: residuals from the VAR of a GVAR model (K x T)
• IdxVarRest: index of the variable that is selected as strictly exogenous

Returns

restricted version of the variance-covariance matrix a GVAR model (K x K)