ParaLabelsOpt

Create the variable labels used in the estimation

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

ParaLabelsOpt function

<dl><dt>ModelType</dt>
<dd>a string-vector containing the label of the model to be estimated</dd>
<dt>WishStationarityQ</dt>
<dd>User must set TRUE is she wishes to impose the largest eigenvalue under the Q to be strictly
smaller than 1. Otherwise set FALSE</dd>
<dt>MLEinputs</dt>
<dd>Set of inputs that are necessary to the log-likelihood function</dd>
<dt>BS_outputs</dt>
<dd>Generates simplified output list in the bootstrap setting. Default is set to FALSE.</dd></dl>

Arguments

Create the variable labels used in the estimation — ParaLabelsOpt

<dl>

<dt>ModelType</dt>
<dd>a string-vector containing the label of the model to be estimated</dd>


<dt>WishStationarityQ</dt>
<dd>User must set TRUE is she wishes to impose the largest eigenvalue under the Q to be strictly
smaller than 1. Otherwise set FALSE</dd>


<dt>MLEinputs</dt>
<dd>Set of inputs that are necessary to the log-likelihood function</dd>


<dt>BS_outputs</dt>
<dd>Generates simplified output list in the bootstrap setting. Default is set to FALSE.</dd>

</dl>

ParaLabelsOpt: Create the variable labels used in the estimation

Description

Usage

Arguments