MultiATSM (version 1.2.0)

OOS_Forecast: Perform out-of-sample forecast of bond yields

Description

Perform out-of-sample forecast of bond yields

Usage

OOS_Forecast(
  ForHoriz,
  t_Last,
  ModelParaList,
  FactorLabels,
  Yields_FullSample,
  Economies,
  ModelType
)

Arguments

ForHoriz

forecast horizon-ahead (scalar)

t_Last

Index of the last set of observations in the information set at a given forecasting round

ModelParaList

List of model parameter estimates

FactorLabels

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

Yields_FullSample

Time-series of bond yields, complete set (J x T or CJ x T)

Economies

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

ModelType

a string-vector containing the label of the model to be estimated