PdynamicsSet_BS

Compute some key parameters from the P-dynamics (Bootstrap set)

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

PdynamicsSet_BS function

<dl><dt>ModelType</dt>
<dd>string-vector containing the label of the model to be estimated</dd>
<dt>AllFactorsUnderP</dt>
<dd>complete set of factors that may be used in the estimation of P (KxT)</dd>
<dt>FactorLabels</dt>
<dd>string-list based which contains the labels of all the variables present in the model (see "LabFac" function)</dd>
<dt>Economies</dt>
<dd>string-vector containing the names of the economies which are part of the economic system</dd>
<dt>JLLinputs</dt>
<dd>List containing the necessary inputs for the estimation of the JLL-based models (see "JLL" function). Default is set to NULL.</dd>
<dt>GVARinputs</dt>
<dd>List containing the necessary inputs for the estimation of the GVAR-based models (see "GVAR" function). Default is set to NULL.</dd></dl>

Arguments

Compute some key parameters from the P-dynamics (Bootstrap set) — PdynamicsSet_BS

<dl>

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


<dt>AllFactorsUnderP</dt>
<dd>complete set of factors that may be used in the estimation of P (KxT)</dd>


<dt>FactorLabels</dt>
<dd>string-list based which contains the labels of all the variables present in the model (see "LabFac" function)</dd>


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


<dt>JLLinputs</dt>
<dd>List containing the necessary inputs for the estimation of the JLL-based models (see "JLL" function). Default is set to NULL.</dd>


<dt>GVARinputs</dt>
<dd>List containing the necessary inputs for the estimation of the GVAR-based models (see "GVAR" function). Default is set to NULL.</dd>

</dl>

PdynamicsSet_BS: Compute some key parameters from the P-dynamics (Bootstrap set)

Description

Usage

Arguments