GetPdynPara_BC function

Compute P-dynamics parameters using the bias correction method from BRW (2012)

GetPdynPara_BC(
  ModelType,
  BRWinputs,
  RiskFactors,
  Economies,
  FactorLabels,
  GVARinputs,
  JLLinputs
)

Arguments

• ModelType: string-vector containing the label of the model to be estimated
• BRWinputs: list of necessary inputs for performing the bias-corrected estimation (see "Bias_Correc_VAR" function)
• RiskFactors: time series of risk factors (F x T). Could be stored in a list depending on the model
• Economies: string-vector containing the names of the economies which are part of the economic system
• FactorLabels: string-list based which contains the labels of all variables present in the model
• GVARinputs: list of necessary inputs for the estimation of GVAR-based models (see "GVAR" function)
• JLLinputs: list of necessary inputs for the estimation of JLL-based models (see "JLL" function)