MultiATSM (version 1.5.0)

FeedMat_Q: Get an estimate for the risk-neutral (Q) feedback matrix

Description

Get an estimate for the risk-neutral (Q) feedback matrix

Usage

FeedMat_Q(
  Yields,
  Spa_Fac,
  Economies,
  UnitYields,
  time_step,
  check_inputs = TRUE
)

Arguments

Yields

matrix of bond yields (J x T)

Spa_Fac

matrix of spanned factors (N x T)

Economies

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

UnitYields

(i) "Month": if maturity of yields are expressed in months or (ii) "Year": if maturity of yields are expressed in years

time_step

time unit of the model (scalar). For instance, if data is (i) monthly, dt <- 12; (ii) quarterly, dt <- 4; (iii) yearly, dt <- 1.

check_inputs

Perform input validation. Default is TRUE.

References

Le, A., & Singleton, K. J. (2018). Small Package of Matlab Routines for Estimation of Some Term Structure Models. EABCN Training School.
This function offers an independent R implementation that is informed by the conceptual framework outlined in Le and Singleton (2018), but adapted to the present modeling context.