MultiATSM (version 1.5.0)

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

Description

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

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

character. Model type to be estimated. Permissible choices: "JPS original", "JPS global", "GVAR single", "JPS multi", "GVAR multi", "JLL original", "JLL No DomUnit", "JLL joint Sigma".

ModelPara

list. Point estimates of the model parameters. See outputs from Optimization

InputsForOutputs

list. Inputs for generating IRFs, GIRFs, FEVDs, GFEVDs, and Term Premia.

FactorLabels

list. Labels for all variables present in the model, as returned by LabFac.

Economies

character vector. Names of the C 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.

Available methods

- `autoplot(object, type)`

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, ParaSetEx, InpForOutEx, FacLab, Economy,
  Folder2save = NULL, verbose = FALSE
)