OutputConstructionJoint

Numerical outputs (variance explained, model fit, IRFs, GIRFs, FEVDs, GFEVDs and risk premia decomposition)
for "joint Q" models

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

OutputConstructionJoint function

<dl><dt>ModelType</dt>
<dd>string-vector containing the label of the model to be estimated</dd>
<dt>ModelPara</dt>
<dd>list of model parameter estimates (see the "Optimization" function)</dd>
<dt>InputsForOutputs</dt>
<dd>list conataining the desired horizon of analysis for the model fit, IRFs, GIRFs, FEVDs, GFEVDs
and risk premia decomposition</dd>
<dt>FactorLabels</dt>
<dd>string-list based which contains all the labels of all the variables present in the model</dd>
<dt>Economies</dt>
<dd>string-vector containing the names of the economies which are part of the economic system</dd></dl>

Arguments

Numerical outputs (variance explained, model fit, IRFs, GIRFs, FEVDs, GFEVDs and risk premia decomposition)
for "joint Q" models — OutputConstructionJoint

<dl>

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


<dt>ModelPara</dt>
<dd>list of model parameter estimates (see the "Optimization" function)</dd>


<dt>InputsForOutputs</dt>
<dd>list conataining the desired horizon of analysis for the model fit, IRFs, GIRFs, FEVDs, GFEVDs
and risk premia decomposition</dd>


<dt>FactorLabels</dt>
<dd>string-list based which contains all the labels of all the variables present in the model</dd>


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

</dl>

OutputConstructionJoint: Numerical outputs (variance explained, model fit, IRFs, GIRFs, FEVDs, GFEVDs and risk premia decomposition) for "joint Q" models

Description

Usage

Arguments