MultiATSM (version 0.3.6)

Bootstrap: Generates the bootstrap-related outputs

Description

Generates the bootstrap-related outputs

Usage

Bootstrap(
  ModelType,
  ModelParaPE,
  NumOutPE,
  mat,
  Economies,
  InputsForOutputs,
  FactorLabels,
  DataFrequency,
  vararginPE,
  JLLinputs = NULL,
  GVARinputs = NULL,
  BRWinputs = NULL
)

Value

list containing the following elements:

• list of model parameters for one each one the draws;

• list of numerical outputs (IRFs, GIRFs, FEVDs, GFEVDs) for each one of the draws;

• Confidence bands for the chosen level of significance.

Arguments

ModelType

string-vector containing the label of the model to be estimated

ModelParaPE

point estimate from the model parameters (see the outputs of the "Optimization" function)

NumOutPE

point estimate from the numerical outputs (see the outputs of the "NumOutputs" function)

mat

vector of maturities (in years) used in the estimation

Economies

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

InputsForOutputs

list containing the desired inputs for the construction of IRFs, GIRFs, FEVDs, and GFEVDs.

FactorLabels

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

DataFrequency

character-based vector: "Daily All Days", "Daily Business Days", "Weekly", "Monthly", "Quarterly", "Annually"

vararginPE

list containg starting values and constraints (see arguments of the "Optimization" function)

JLLinputs

list of necessary inputs for the estimation of JLL-based models (see "JLL" function)

GVARinputs

list of necessary inputs for the estimation of GVAR-based models (see "GVAR" function)

BRWinputs

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

References

This function is a modified and extended version of the "VARirbound" function from "A toolbox for VAR analysis" by Ambrogio Cesa-Bianchi (https://github.com/ambropo/VAR-Toolbox)

Examples

# See examples in the vignette file of this package (Section 4).