MultiATSM (version 1.5.0)

VAR: Estimates a standard VAR(1)

Description

Estimates a standard VAR(1)

Usage

VAR(RiskFactors, VARtype, Bcon_Mat = NULL)

Value

list. Contains:

• intercept (K x 1)

• feedback matrix (K x K)

• variance-covariance matrix (K x K) of a VAR(1)

Arguments

RiskFactors

numeric matrix (K x Td). Time series of risk factors.

VARtype

character. Permissible choices: "unconstrained" or "constrained".

Bcon_Mat

matrix (K x K + 1). Constraints matrix (includes intercept). Entries containing NAs are treated as free parameters. Default is NULL.

General Notation

• Td: model time series dimension

• N: number of country-specific spanned factors

• K: total number of risk factors

Examples

data(RiskFacFull)
# Example 1: unconstrained case
VAR_para1 <- VAR(RiskFacFull, VARtype = "unconstrained")

# Example 2: constrained case
K <- nrow(RiskFacFull)
Bcon_Mat <- matrix(0, nrow = K, ncol = K + 1)
Bcon_Mat[, 1:3] <- NaN
VAR_para2 <- VAR(RiskFacFull, VARtype = "constrained", Bcon_Mat)