MLEdensity: Compute the maximum likelihood function of all models

Description

Compute the maximum likelihood function of all models

Usage

MLEdensity(
  K1XQ,
  r0,
  SSZ,
  K0Z,
  K1Z,
  se,
  Gy.0,
  mat,
  Y,
  Z,
  P,
  Wpca,
  We,
  WpcaFull,
  dt,
  Economies,
  FactorLabels,
  ModelType,
  GVARinputs = NULL,
  JLLinputs = NULL,
  BS_outputs = FALSE,
  ExportListOut = TRUE
)

Arguments

K1XQ: risk-neutral feedback matrix (N x N or CN x CN)
r0: long-run interest rate (scalar or vector with length C)
SSZ: variance-covariance matrix (F x F)
K0Z: intercept from the P-dynamics (F x 1)
K1Z: feedback matrix from the P-dynamics (F x F)
se: Variance of the portfolio of yields observed with error (scalar). Default is set to NULL.
Gy.0: matrix of contemporaneous terms from the P-dynamics (F x F)
mat: vector of maturities (in years) of yields used in estimation (J x 1)
Y: matrix of yields used in estimation (J x T or CJ x T)
Z: complete set of spanned and unspanned factors (F x T)
P: complete set of spanned factors (N x T or CN x T)
Wpca: matrix of weights of the portfolios observed without errors (N x J or CN x J)
We: matrix of weights of the portfolios observed with errors ((J-N) x J or C(J-N) x CJ)
WpcaFull: composite matrix of weights the portfolios observed with and without errors
dt: time interval unit of the model (scalar). For instance, if data is (i) monthly, dt <- 12; (ii) quarterly, dt <- 4; (iii) yearly, dt <- 1.
Economies: string-vector containing the names of the economies which are part of the economic system
FactorLabels: string-list based which contains the labels of all the variables present in the model
ModelType: string-vector containing the label of the model to be estimated
GVARinputs: if the model chosen is the "GVAR single" or "GVAR multi", the "GVARinputs" should be specified (see "GVAR" function)
JLLinputs: if the model chosen is JLL-based. "JLLinputs" should contain (i) DomUnit, (ii) WishSigmas, (iii) SigmaNonOrtho, (iv) JLLModelType (See JLL function)
BS_outputs: Generates simplified output list in the bootstrap setting. Default is set to FALSE.
ExportListOut: export the complete ATSM outputs. Default is TRUE.

References

Candelon, C. and Moura, R. (2024). “A Multicountry Model of the Term Structures of Interest Rates with a GVAR.” Journal of Financial Econometrics 22 (5): 1558–87.
Jotikasthira, C; Le, A. and Lundblad, C (2015). “Why Do Term Structures in Different Currencies Co-Move?” Journal of Financial Economics 115: 58–83.
Joslin, S,; Priebsch, M. and Singleton, K. (2014). “Risk Premiums in Dynamic Term Structure Models with Unspanned Macro Risks.” Journal of Finance 69 (3): 1197–1233.
Joslin, S., Singleton, K. and Zhu, H. (2011). "A new perspective on Gaussian dynamic term structure models". The Review of Financial Studies.
Le, A. and Singleton, K. (2018). "A Small Package of Matlab Routines for the Estimation of Some Term Structure Models." Euro Area Business Cycle Network Training School - Term Structure Modelling.