DataSet_BS

Prepare the factor set for GVAR models (Bootstrap version)

internal

Estimation routines for several classes of affine term structure of interest rates models. All the models are based on the single-country unspanned macroeconomic risk framework from Joslin, Priebsch, and Singleton (2014, JF) <doi:10.1111/jofi.12131>. Multicountry extensions such as the ones of Jotikasthira, Le, and Lundblad (2015, JFE) <doi:10.1016/j.jfineco.2014.09.004>, Candelon and Moura (2023, EM) <doi:10.1016/j.econmod.2023.106453>, and Candelon and Moura (Forthcoming, JFEC) <http://hdl.handle.net/2078.1/249985> are also available.

Rubens Moura

MultiATSM

Multicountry Term Structure of Interest Rates Models

DataSet_BS function

<dl><dt>ModelType</dt>
<dd>string-vector containing the label of the model to be estimated</dd>
<dt>RiskFactors</dt>
<dd>Complete set of risk factors (KxT)</dd>
<dt>Wgvar</dt>
<dd>transition matrix from GVAR models (CxC)</dd>
<dt>Economies</dt>
<dd>string-vector containing the names of the economies which are part of the economic system</dd>
<dt>FactorLabels</dt>
<dd>string-list based which contains the labels of all the variables present in the model</dd></dl>

Arguments

Prepare the factor set for GVAR models  (Bootstrap version) — DataSet_BS

<dl>

<dt>ModelType</dt>
<dd>string-vector containing the label of the model to be estimated</dd>


<dt>RiskFactors</dt>
<dd>Complete set of risk factors (KxT)</dd>


<dt>Wgvar</dt>
<dd>transition matrix from GVAR models (CxC)</dd>


<dt>Economies</dt>
<dd>string-vector containing the names of the economies which are part of the economic system</dd>


<dt>FactorLabels</dt>
<dd>string-list based which contains the labels of all the variables present in the model</dd>

</dl>

DataSet_BS: Prepare the factor set for GVAR models (Bootstrap version)

Description

Usage

Arguments