Est_RestOLS

internal

Package for estimating, analyzing, and forecasting multi-country macro-finance affine term structure models (ATSMs). All setups build on the single-country unspanned macroeconomic risk framework from Joslin, Priebsch, and Singleton (2014, JF) <doi:10.1111/jofi.12131>. Multicountry extensions by 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 (2024, JFEC) <doi:10.1093/jjfinec/nbae008> are also available. The package also provides tools for bias correction as in Bauer Rudebusch and Wu (2012, JBES) <doi:10.1080/07350015.2012.693855>, bootstrap analysis, and several graphical/numerical outputs.

Rubens Moura

MultiATSM

Multicountry Term Structure of Interest Rates Models

Est_RestOLS function

<dl><dt>LHS</dt>
<dd>left hand side variables (M x T).</dd>
<dt>RHS</dt>
<dd>right hand side variables (should include the intercept, if desired) (N x T).</dd>
<dt>Rmat</dt>
<dd>matrix of constraints (M x N). Entries containing NAs are treated as free parameters.</dd></dl>

Arguments

Estimate a restricted OLS model — Est_RestOLS

<dl>

<dt>LHS</dt>
<dd>left hand side variables (M x T).</dd>


<dt>RHS</dt>
<dd>right hand side variables (should include the intercept, if desired) (N x T).</dd>


<dt>Rmat</dt>
<dd>matrix of constraints (M x N). Entries containing NAs are treated as free parameters.</dd>

</dl>

Est_RestOLS: Estimate a restricted OLS model

Description

Usage

Value

Arguments