BootstrapBoundsSet

Builds the confidence bounds and graphs (Bootstrap set)

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

BootstrapBoundsSet function

<dl><dt>ModelType</dt>
<dd>string-vector containing the label of the model to be estimated</dd>
<dt>ModelBootstrap</dt>
<dd>list containing the complete set of model parameters after the bootstrap estimation procedure</dd>
<dt>NumOutPE</dt>
<dd>point estimate from the numerical outputs (see the outputs of the "NumOutputs" function)</dd>
<dt>InputsForOutputs</dt>
<dd>list containing the desired inputs for the construction of IRFs, GIRFs, FEVDs, and GFEVDs</dd>
<dt>Economies</dt>
<dd>string-vector containing the names of the economies which are part of the economic system</dd></dl>

Arguments

Builds the confidence bounds and graphs (Bootstrap set) — BootstrapBoundsSet

<dl>

<dt>ModelType</dt>
<dd>string-vector containing the label of the model to be estimated</dd>


<dt>ModelBootstrap</dt>
<dd>list containing the complete set of model parameters after the bootstrap estimation procedure</dd>


<dt>NumOutPE</dt>
<dd>point estimate from the numerical outputs (see the outputs of the "NumOutputs" function)</dd>


<dt>InputsForOutputs</dt>
<dd>list containing the desired inputs for the construction of IRFs, GIRFs, FEVDs, and GFEVDs</dd>


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

</dl>

BootstrapBoundsSet: Builds the confidence bounds and graphs (Bootstrap set)

Description

Usage

Arguments