true2aux

Map constrained parameters b to unconstrained auxiliary parameters a.

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) <doi:10.1093/jjfinec/nbae008> are also available.

Rubens Moura

MultiATSM

Multicountry Term Structure of Interest Rates Models

true2aux function

<dl><dt>b</dt>
<dd>Constrained parameter</dd>
<dt>ctype</dt>
<dd>character-based vector that describes the contraints. Constraints are:<ul>
<li>'Jordan';</li>
<li>'Jordan; stationary'</li>
<li>'Jordan MultiCountry'</li>
<li>'Jordan MultiCountry; stationary'</li>
<li>'stationary'</li>
<li>'psd'</li>
<li>'BlockDiag'</li>
<li>'bounded'</li>
<li>'diag'</li>
<li>'JLLstructure'</li>
</ul></dd>
<dt>lb</dt>
<dd>lower bounds of b (for the bounded case). Accomodates a scalar or a matrix.</dd>
<dt>ub</dt>
<dd>upper bounds of b (for the bounded case). Accomodates a scalar or a matrix.</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>
<dt>JLLinputs</dt>
<dd>list of necessary inputs for the estimation of JLL-based models (see "JLL" function)</dd></dl>

Arguments

Map constrained parameters b to unconstrained auxiliary parameters a. — true2aux

<dl>

<dt>b</dt>
<dd>Constrained parameter</dd>


<dt>ctype</dt>
<dd>character-based vector that describes the contraints. Constraints are:<ul>
<li>'Jordan';</li>
<li>'Jordan; stationary'</li>
<li>'Jordan MultiCountry'</li>
<li>'Jordan MultiCountry; stationary'</li>
<li>'stationary'</li>
<li>'psd'</li>
<li>'BlockDiag'</li>
<li>'bounded'</li>
<li>'diag'</li>
<li>'JLLstructure'</li>
</ul></dd>


<dt>lb</dt>
<dd>lower bounds of b (for the bounded case). Accomodates a scalar or a matrix.</dd>


<dt>ub</dt>
<dd>upper bounds of b (for the bounded case). Accomodates a scalar or a matrix.</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>


<dt>JLLinputs</dt>
<dd>list of necessary inputs for the estimation of JLL-based models (see "JLL" function)</dd>

</dl>

true2aux: Map constrained parameters b to unconstrained auxiliary parameters a.

Description

Usage

Value

Arguments

References