ParaLabels

Create the variable labels used in the estimation

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

ParaLabels function

<dl><dt>ModelType</dt>
<dd>a string-vector containing the label of the model to be estimated</dd>
<dt>WishStationarityQ</dt>
<dd>User must set "1" is she whises to impose the largest eigenvalue under the Q to be strictly
smaller than 1. Otherwise set "0"</dd></dl>

Arguments

Create the variable labels used in the estimation — ParaLabels

<dl>

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


<dt>WishStationarityQ</dt>
<dd>User must set "1" is she whises to impose the largest eigenvalue under the Q to be strictly
smaller than 1. Otherwise set "0"</dd>

</dl>

ParaLabels: Create the variable labels used in the estimation

Description

Usage

Value

Arguments

Examples