shrink_FeedMat_BC

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

shrink_FeedMat_BC function

<dl><dt>K1Z_BC</dt>
<dd>VAR (1) bias-corrected feedback matrix from Bauer, Rudebusch and, Wu (2012)</dd>
<dt>K1Z_NoBC</dt>
<dd>VAR (1) with no bias-corrected feedback matrix from the selected ATSM</dd>
<dt>ev_restr</dt>
<dd>maximum eigenvalue desired in the feedback matrix after the adjustment</dd></dl>

Arguments

Shrinking the largest eigenvalue — shrink_FeedMat_BC

<dl>

<dt>K1Z_BC</dt>
<dd>VAR (1) bias-corrected feedback matrix from Bauer, Rudebusch and, Wu (2012)</dd>


<dt>K1Z_NoBC</dt>
<dd>VAR (1) with no bias-corrected feedback matrix from the selected ATSM</dd>


<dt>ev_restr</dt>
<dd>maximum eigenvalue desired in the feedback matrix after the adjustment</dd>

</dl>

shrink_FeedMat_BC: Shrinking the largest eigenvalue

Description

Usage

Arguments