MultiATSM (version 1.4.0)

NumOutputs: Constructs the model numerical outputs (model fit, IRFs, GIRFs, FEVDs, GFEVDs, and term premia decomposition)

Description

Constructs the model numerical outputs (model fit, IRFs, GIRFs, FEVDs, GFEVDs, and term premia decomposition)

Usage

NumOutputs(
  ModelType,
  ModelPara,
  InputsForOutputs,
  FactorLabels,
  Economies,
  Folder2save = NULL,
  verbose = TRUE
)

Value

An object of class 'ATSMNumOutputs' containing the following keys elements:

1. Model parameter estimates

2. Model fit of bond yields

3. IRFs

4. FEVDs

5. GIRFs

6. GFEVDs

7. Bond yield decomposition

Arguments

ModelType

A character vector indicating the model type to be estimated.

ModelPara

A list containing the point estimates of the model parameters. For details, refer to the outputs from the Optimization function.

InputsForOutputs

A list containing the necessary inputs for generating IRFs, GIRFs, FEVDs, GFEVDs and Term Premia.

FactorLabels

A list of character vectors with labels for all variables in the model.

Economies

A character vector containing the names of the economies included in the system.

Folder2save

Folder path where the outputs will be stored. Default option saves the outputs in a temporary directory.

verbose

Logical flag controlling function messaging. Default is TRUE.

Details

Both IRFs and FEVDs are computed using the Cholesky decomposition method. The risk factors are ordered as follows: (i) global unspanned factors, and (ii) domestic unspanned and spanned factors for each country. The order of countries follows the sequence defined in the Economies vector.

References

Pesaran, H. Hashem, and Shin, Yongcheol. "Generalized impulse response analysis in linear multivariate models." Economics letters 58.1 (1998): 17-29.

Examples

data("ParaSetEx")
data("InpForOutEx")
# Adjust inputs according to the loaded features
ModelType <- "JPS original"
Economy <- "Brazil"
FacLab <- LabFac(N = 1, DomVar ="Eco_Act" , GlobalVar = "Gl_Eco_Act", Economy, ModelType)

NumOut <- NumOutputs(ModelType, ModelParaEx, InpForOutEx, FacLab, Economy,
                     Folder2save = NULL, verbose = FALSE)