MultiATSM (version 0.3.6)

Reg_K1Q: Estimate the risk-neutral feedbak matrix K1Q using linear regressions

Description

Estimate the risk-neutral feedbak matrix K1Q using linear regressions

Usage

Reg_K1Q(Y, mat, Z, dt, type)

Value

Risk neutral feedback matrix K1Q.

Arguments

Y

matrix of yields used in estimation (J x T)

mat

vector of maturities (in years) of yields used in estimation (J x 1)

Z

pricing factors (can be yields-based or non-yields/macro variables) (N x T)

dt

time unit of the model (scalar). For instance, if data is (i) monthly, dt <- 12; (ii) quarterly, dt <- 4; (iii) yearly, dt <- 1.

type

'Jordan' -> K1Q will be of the Jordan type

References

This function is based on the "Reg_K1Q" function by Le and Singleton (2018).
"A Small Package of Matlab Routines for the Estimation of Some Term Structure Models."
(Euro Area Business Cycle Network Training School - Term Structure Modelling). Available at: https://cepr.org/40029

Examples

data(CM_Yields)

Y_China <- Yields[1:6,]
Z_China <- Spanned_Factors(Y_China, Economies ="China", N=3)
mat <-c(0.25 , 0.5 , 1, 3, 5, 10)
dt <- 1/12
type <- 'Jordan'
Reg_K1Q(Y_China, mat, Z_China, dt, type)