SA_algorithm

Stochastic approximation algorithm

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

SA_algorithm function

<dl><dt>K1Z_NoBC</dt>
<dd>feedback matrix before bias-correction</dd>
<dt>RiskFactors</dt>
<dd>A numeric matrix (T x F) representing the time series of risk factors.</dd>
<dt>BRWlist</dt>
<dd>A list containing the necessary inputs for the BRW model estimation</dd>
<dt>GVARinputs</dt>
<dd>List. Inputs for GVAR model estimation.</dd>
<dt>JLLinputs</dt>
<dd>List. Inputs for JLL model estimation.</dd>
<dt>FactorLabels</dt>
<dd>A list of character vectors with labels for all variables in the model.</dd>
<dt>Economies</dt>
<dd>A character vector containing the names of the economies included in the system.</dd>
<dt>ModelType</dt>
<dd>A character vector indicating the model type to be estimated.</dd>
<dt>verbose</dt>
<dd>verbose Logical flag controlling function messaging.</dd></dl>

Arguments

Stochastic approximation algorithm — SA_algorithm

<dl>

<dt>K1Z_NoBC</dt>
<dd>feedback matrix before bias-correction</dd>


<dt>RiskFactors</dt>
<dd>A numeric matrix (T x F) representing the time series of risk factors.</dd>


<dt>BRWlist</dt>
<dd>A list containing the necessary inputs for the BRW model estimation</dd>


<dt>GVARinputs</dt>
<dd>List. Inputs for GVAR model estimation.</dd>


<dt>JLLinputs</dt>
<dd>List. Inputs for JLL model estimation.</dd>


<dt>FactorLabels</dt>
<dd>A list of character vectors with labels for all variables in the model.</dd>


<dt>Economies</dt>
<dd>A character vector containing the names of the economies included in the system.</dd>


<dt>ModelType</dt>
<dd>A character vector indicating the model type to be estimated.</dd>


<dt>verbose</dt>
<dd>verbose Logical flag controlling function messaging.</dd>

</dl>

SA_algorithm: Stochastic approximation algorithm

Description

Usage

Arguments