Aux_Jordan

Transformation of the Jordan-related parameters (auxiliary form)

internal

Estimation routines for several classes of affine term structure of interest rates models. All the models are based on the single-country unspanned macroeconomic risk framework from Joslin, Priebsch, and Singleton (2014, JF) <doi:10.1111/jofi.12131>. Multicountry extensions such as the ones of 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 (Forthcoming, JFEC) <doi:10.1093/jjfinec/nbae008> are also available.

Rubens Moura

MultiATSM

Multicountry Term Structure of Interest Rates Models

Aux_Jordan function

<dl><dt>ParaValue</dt>
<dd>Constrained parameter</dd>
<dt>Const_Type</dt>
<dd>Type of constraint</dd>
<dt>FactorLabels</dt>
<dd>string-list based which contains the labels of all the variables present in the model</dd>
<dt>Economies</dt>
<dd>string-vector containing the names of the economies which are part of the economic system</dd>
<dt>JLLinputs</dt>
<dd>list of necessary inputs for the estimation of JLL-based models (see "JLL" function)</dd></dl>

Arguments

Transformation of the Jordan-related parameters (auxiliary form) — Aux_Jordan

<dl>

<dt>ParaValue</dt>
<dd>Constrained parameter</dd>


<dt>Const_Type</dt>
<dd>Type of constraint</dd>


<dt>FactorLabels</dt>
<dd>string-list based which contains the labels of all the variables present in the model</dd>


<dt>Economies</dt>
<dd>string-vector containing the names of the economies which are part of the economic system</dd>


<dt>JLLinputs</dt>
<dd>list of necessary inputs for the estimation of JLL-based models (see "JLL" function)</dd>

</dl>

Aux_Jordan: Transformation of the Jordan-related parameters (auxiliary form)

Description

Usage

Arguments