ResampleResiduals_BS

Compute the residuals from the original model

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

ResampleResiduals_BS function

<dl><dt>residPdynOriginal</dt>
<dd>Time-series of the residuals from the P-dynamics equation (T x F)</dd>
<dt>residYieOriginal</dt>
<dd>Time-series of the residuals from the observational equation (T x J or T x CJ)</dd>
<dt>InputsForOutputs</dt>
<dd>list containing the desired inputs for the construction of the numerical outputs.</dd>
<dt>ModelType</dt>
<dd>A character vector indicating the model type to be estimated</dd>
<dt>nlag</dt>
<dd>Number of lags in the P-dynamics. Default is set to 1.</dd></dl>

Arguments

Compute the residuals from the original model — ResampleResiduals_BS

<dl>

<dt>residPdynOriginal</dt>
<dd>Time-series of the residuals from the P-dynamics equation (T x F)</dd>


<dt>residYieOriginal</dt>
<dd>Time-series of the residuals from the observational equation (T x J or T x CJ)</dd>


<dt>InputsForOutputs</dt>
<dd>list containing the desired inputs for the construction of the numerical outputs.</dd>


<dt>ModelType</dt>
<dd>A character vector indicating the model type to be estimated</dd>


<dt>nlag</dt>
<dd>Number of lags in the P-dynamics. Default is set to 1.</dd>

</dl>

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ResampleResiduals_BS: Compute the residuals from the original model

Description

Usage

Arguments