Get_V_tilde_BC function

Compute the variance-covariance matrix after the bias correction procedure

Get_V_tilde_BC(
  Phi_tilde,
  N,
  RiskFactors,
  GVARinputs,
  JLLinputs,
  FactorLabels,
  ModelType
)

Arguments

• Phi_tilde: Feedback matrix resulting from the bias-correction procedure
• N: number of country-specific spanned factors (scalar)
• RiskFactors: time series of the risk factors (T x F)
• GVARinputs: inputs used in the estimation of the GVAR-based models (see "GVAR" function). Default is set to NULL
• JLLinputs: inputs used in the estimation of the JLL-based models (see "JLL" function). Default is set to NULL
• FactorLabels: string-list based which contains the labels of all variables present in the model
• ModelType: string-vector containing the label of the model to be estimated