RemoveNA

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

RemoveNA function

<dl><dt>YieldsData</dt>
<dd>List of country-specific bond yields</dd>
<dt>MacroData</dt>
<dd>List of country-specific and global economic variables</dd>
<dt>Economies</dt>
<dd>string-vector containing the names of the economies which are part of the economic system</dd></dl>

Arguments

Exclude series that contain NAs — RemoveNA

<dl>

<dt>YieldsData</dt>
<dd>List of country-specific bond yields</dd>


<dt>MacroData</dt>
<dd>List of country-specific and global economic variables</dd>


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

</dl>

RemoveNA: Exclude series that contain NAs

Description

Usage

Value

Arguments