MultiATSM (version 1.2.0)

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

Description

Map constrained parameters b to unconstrained auxiliary parameters a.

Usage

GetAuxPara(
  ParaValue,
  Const_Type_Full,
  lb,
  ub,
  Economies,
  FactorLabels,
  JLLinputs = NULL
)

Value

unconstrained auxiliary matrix.

Arguments

ParaValue

Constrained parameter

Const_Type_Full

character-based vector that describes the constraints. Constraints are:

• 'Jordan';

• 'Jordan; stationary'

• 'Jordan MultiCountry'

• 'Jordan MultiCountry; stationary'

• 'stationary'

• 'psd'

• 'BlockDiag'

• 'bounded'

• 'diag'

• 'JLLstructure'

lb

lower bounds (a scalar or a matrix) of ParaValue (for the bounded case).

ub

upper bounds (a scalar or a matrix) of ParaValue (for the bounded case).

Economies

string-vector containing the names of the economies which are part of the economic system

FactorLabels

string-list based which contains the labels of all the variables present in the model

JLLinputs

list of necessary inputs for the estimation of JLL-based models (see "JLL" function)

References

This function is a modified and extended version of the "true2aux" 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