m_var function

Find mean or median of OLS when DGP is VAR(1)

m_var(
  theta,
  M,
  RiskFactors,
  N,
  GVARinputs,
  JLLinputs,
  FactorLabels,
  Economies,
  ModelType,
  flag_mean = TRUE
)

Arguments

• theta: parameters from the feedback matrix in vector form
• M: number of Monte Carlo replications
• RiskFactors: time series of the risk factors (T x F)
• N: number of country-specific spanned factors (scalar)
• GVARinputs: inputs used in the estimation of the GVAR-based models (see "GVAR" function). Default is set to NULL
• JLLinputs: inputs used in the estimation of the JLL-based models (see "JLL" function). Default is set to NULL
• 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
• ModelType: string-vector containing the label of the model to be estimated
• flag_mean: flag whether mean- (TRUE) or median- (FALSE) unbiased estimation is desired. Default is set to TRUE

References

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

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