VARX function

Estimate a VARX(1,1,1)

VARX(GVARinputs, Factors_GVAR, DomLabels, StarLabels, GlobalLabels, N)

Arguments

• GVARinputs: List of inputs for GVAR-based models
• Factors_GVAR: list containing the set of eisk factors used in the estimation of the VARX models
• DomLabels: string-based vector containing label of the domestic risk factors
• StarLabels: string-based vector containing label of the star domestic risk factors
• GlobalLabels: string-based vector containing label of the global risk factors
• N: number of country-specific spanned factors (scalar)