IDXZeroRestrictionsJLLVarCovOrtho function

Find the indexes of zero-restrictions from the orthogonalized variance-covariance matrix from the JLL-based models

IDXZeroRestrictionsJLLVarCovOrtho(M, N, G, Economies, DomUnit)

Arguments

• M: number of country-specific unspanned factors (scalar)

• N: number of country-specific spanned factors (scalar)

• G: number of global unspanned factors (scalar)

• Economies: Set of economies that are part of the economic system (string-vector)

• 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

restricted version of the JLL of the Cholesky factorization (F x F)