GVARX

Function to generate foreign variables

Compute the G0, G1, G2, and F1, F2 matrices for filtering Xt

Estimate country-specific VAR in a GVAR setting

Estimate country-specific Johansen test results in a Global VECM setting

Compute the G0, G1, G2, and F1, F2 matrices for filtering Xt

Estimate country-specific Engle-Granger VECM in a Global VECM setting

Dataset price-volumn of 17 mareket indices

Comparing average residual correlations.

Comparing average residual correlations of GVECM and VECM.

Return country-specific standard LS coefficient estimates.

All-country LS coefficient estimates.

Extract country-specific LS coefficient estimates with Newy-West robust covariance.

Extract all-country coefficient estimates with Newy-West robust covariance.

Extract country-specific LS coefficient estimates with White robust covariance.

Extract all-country coefficient estimates with White robust covariance.

A single year cross-section bilateral trade weight matrix, 2014.

A nine-year bilateral trade weight matrix, 2006-2014