Get_G0G1Sigma function

Get the intercept, feedback matrix and the variance-covariance matrix from GVAR without global factors

Get_G0G1Sigma(ParaVARX, GVARinputs, Ai0, Ai1, Wi)

Arguments

• ParaVARX: Set of VARX model parameters
• GVARinputs: List of inputs for GVAR-based models
• Ai0: list containing the country-specific intercepts
• Ai1: list containing the country-specific feedback matrices
• Wi: list containing the country-specific link matrices