OrthoVAR_JLL function

VAR(1) with orthogonalized factors (JLL models)

OrthoVAR_JLL(NonOrthoFactors, JLLinputs, Ortho_Set, FactLabels, N)

Arguments

• NonOrthoFactors: Risk factors before the orthogonalization (FxT)
• JLLinputs: List of necessary inputs to estimate JLL-based setups
• Ortho_Set: Set of orthogonalized risk factors
• FactLabels: Variable labels of the orthogonalized risk factors
• N: number of country-specific spanned factors (scalar)