TimeVarWeights_GVAR function

Compute the star variables with time-varying weights

TimeVarWeights_GVAR(
  RiskFactors,
  Economies,
  RiskFactors_List,
  ListFactors,
  Wgvar,
  FactorLabels
)

Arguments

• RiskFactors: A matrix of the complete set of risk factors (F x T).
• Economies: A character vector containing the names of the economies included in the system.
• RiskFactors_List: List of domestic risk factors (both spanned and unspanned)
• ListFactors: List of risk factors
• Wgvar: List of transition matrices
• FactorLabels: A list of character vectors with labels for all variables in the model.