EstimationSigma_Ye function

Estimate numerically the Cholesky-factorization from the JLL-based models

EstimationSigma_Ye(SigmaUnres, res, M, G, Economies, DomUnit)

Arguments

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

• res: residuals from the VAR of the JLL model (K x T)

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

• G: number of global unspanned 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

Cholesky-factorization after the maximization (K x K)