GetTruePara

Map auxiliary (unconstrained) parameters a to constrained parameters b

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

GetTruePara function

<dl><dt>ParaValue</dt>
<dd>unconstrained auxiliary parameter</dd>
<dt>Const_Type_Full</dt>
<dd>One of the following options:<ul>
<li>'Jordan'</li>
<li>'Jordan; stationary'</li>
<li>'Jordan MultiCountry'</li>
<li>'Jordan MultiCountry; stationary'</li>
<li>'psd';</li>
<li>'BlockDiag'</li>
<li>'JLLstructure'</li>
</ul></dd>
<dt>FactorLabels</dt>
<dd>string-list based which contains the labels of all the variables present in the model</dd>
<dt>Economies</dt>
<dd>string-vector containing the names of the economies which are part of the economic system</dd>
<dt>JLLinputs</dt>
<dd>Inputs used in the estimation of the JLL-based models</dd>
<dt>GVARinputs</dt>
<dd>Inputs used in the estimation of the GVAR-based models</dd></dl>

Arguments

Map auxiliary (unconstrained) parameters a to constrained parameters b — GetTruePara

<dl>

<dt>ParaValue</dt>
<dd>unconstrained auxiliary parameter</dd>


<dt>Const_Type_Full</dt>
<dd>One of the following options:<ul>
<li>'Jordan'</li>
<li>'Jordan; stationary'</li>
<li>'Jordan MultiCountry'</li>
<li>'Jordan MultiCountry; stationary'</li>
<li>'psd';</li>
<li>'BlockDiag'</li>
<li>'JLLstructure'</li>
</ul></dd>


<dt>FactorLabels</dt>
<dd>string-list based which contains the labels of all the variables present in the model</dd>


<dt>Economies</dt>
<dd>string-vector containing the names of the economies which are part of the economic system</dd>


<dt>JLLinputs</dt>
<dd>Inputs used in the estimation of the JLL-based models</dd>


<dt>GVARinputs</dt>
<dd>Inputs used in the estimation of the GVAR-based models</dd>

</dl>

GetTruePara: Map auxiliary (unconstrained) parameters a to constrained parameters b

Description

Usage

Arguments