estVARbrw function

Estimate a VAR(1) - suited to Bauer, Rudebusch and Wu (2012) methodology

estVARbrw(
  RiskFactors,
  ModelType,
  N,
  GVARinputs,
  JLLinputs,
  FactorLabels,
  Economies,
  demean = FALSE,
  intercept = TRUE
)

Arguments

• RiskFactors: time series of the risk factors (T x F)
• ModelType: string-vector containing the label of the model to be estimated
• N: number of country-specific spanned factors (scalar)
• GVARinputs: inputs used in the estimation of the GVAR-based models (see "GVAR" function)
• JLLinputs: inputs used in the estimation of the JLL-based models (see "JLL" function)
• FactorLabels: string-list based which contains the labels of all variables present in the model
• Economies: string-vector containing the names of the economies which are part of the economic system
• demean: demean the data before estimation. Default is set to FALSE
• intercept: Include intercept in the VAR model. Default is set to TRUE

Returns

list containing VAR(1) parameters #'

1. Gamma_hat: feedback matrix (F X F)
2. alpha_hat: intercept (F x 1)

#'@references Bauer, Rudebusch and, Wu (2012). "Correcting Estimation Bias in Dynamic Term Structure Models".

This function is similar to the "estVAR" Matlab function available at Cynthia Wu's website (https://sites.google.com/view/jingcynthiawu/).