safe_solve

Safe matrix inversion with conditioning check

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

safe_solve function

<dl><dt>A</dt>
<dd>matrix</dd>
<dt>B</dt>
<dd>matrix</dd>
<dt>reg</dt>
<dd>Numeric scalar (default: <code>1e-12</code>). Small ridge term added to the diagonal of <code>A</code> when the system is ill-conditioned.</dd>
<dt>rcond_tol</dt>
<dd>Numeric, default = 1e-12. Tolerance threshold for the reciprocal condition number.</dd>
<dt>verbose</dt>
<dd>Logical flag controlling function messaging.</dd></dl>

Arguments

Safe matrix inversion with conditioning check — safe_solve

<dl>

<dt>A</dt>
<dd>matrix</dd>


<dt>B</dt>
<dd>matrix</dd>


<dt>reg</dt>
<dd>Numeric scalar (default: <code>1e-12</code>). Small ridge term added to the diagonal of <code>A</code> when the system is ill-conditioned.</dd>


<dt>rcond_tol</dt>
<dd>Numeric, default = 1e-12. Tolerance threshold for the reciprocal condition number.</dd>


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

</dl>

safe_solve: Safe matrix inversion with conditioning check

Description

Usage

Arguments