genVARbrw function

Generate M data sets from VAR(1) model

genVARbrw(Phi, M, RiskFactors)

Arguments

• Phi: feedback matrix (F x F)
• M: number of Monte Carlo replications
• RiskFactors: time series of the risk factors (T x F)

References

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

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