RootEigen

Compute the root of the eigenvalue of K1h

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

RootEigen function

<dl><dt>K1_h</dt>
<dd>K1_h squared matrix</dd>
<dt>horiz</dt>
<dd>Minimum horizon observed</dd>
<dt>N</dt>
<dd>number of country-specific spanned factors</dd></dl>

Arguments

Compute the root of the eigenvalue of K1h — RootEigen

<dl>

<dt>K1_h</dt>
<dd>K1_h squared matrix</dd>


<dt>horiz</dt>
<dd>Minimum horizon observed</dd>


<dt>N</dt>
<dd>number of country-specific spanned factors</dd>

</dl>

RootEigen: Compute the root of the eigenvalue of K1h

Description

Usage

Arguments