StarFactors function

Generates the star variables necessary for the GVAR estimation

StarFactors(RiskFactors, Economies, W)

Arguments

• RiskFactors: time series of the risk factors (F x T)
• Economies: string-vector containing the names of the economies which are part of the economic system
• W: GVAR transition matrix (C x C)

Returns

List containg the star factors of each country of the economic system

Examples

data(CM_Factors)
Economies <- c("China", "Brazil", "Mexico", "Uruguay")
Wgvar <- matrix( c(0, 0.83, 0.86, 0.38, 0.65, 0, 0.13, 0.55,
         0.32, 0.12, 0, 0.07, 0.03, 0.05, 0.01, 0), nrow = 4, ncol = 4,
         dimnames = list(Economies, Economies))
SF <- StarFactors(RiskFactors, Economies, Wgvar)