MultiATSM (version 1.0.0)

BuildRiskFactors_BS: Build the time-series of the risk factors in each bootstrap draw

Description

Build the time-series of the risk factors in each bootstrap draw

Usage

BuildRiskFactors_BS(
  ModelParaPE,
  residPdynOriginal,
  residYieOriginal,
  InputsForOutputs,
  Economies,
  ModelType,
  FactorLabels,
  GVARlist,
  JLLlist,
  WishBRW,
  BRWlist,
  nlag = 1
)

Arguments

ModelParaPE

list of point estimates of the model parameter

residPdynOriginal

Time-series of the residuals from the P-dynamics equation (T x F)

residYieOriginal

Time-series of the residuals from the observational equation (T x J or T x CJ)

InputsForOutputs

list containing the desired inputs for the construction

Economies

string-vector containing the names of the economies which are part of the economic system

ModelType

Desired model to be estimated

FactorLabels

string-list based which contains the labels of all the variables present in the model

GVARlist

list of necessary inputs for the estimation of GVAR-based models

JLLlist

list of necessary inputs for the estimation of JLL-based models

WishBRW

Whether the user wishes to estimate the physical parameter model with the Bias correction model from BRW (2012) (see "Bias_Correc_VAR" function).
Default is set to 0.

BRWlist

list of necessary inputs for performing the bias-corrected estimation (see "Bias_Correc_VAR" function)

nlag

Number of lags in the P-dynamics. Default is set to 1.