BuildCI_Yields

Build Confidence intervals for yield-related outputs

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

BuildCI_Yields function

<dl><dt>NumOutBounds</dt>
<dd>numerical output set from the bootstrap analysis</dd>
<dt>NumOutPE</dt>
<dd>numerical output set from the point estimate analysis</dd>
<dt>Lab_Int</dt>
<dd>Label of interest. available options are "IRF" and "FEVD"</dd>
<dt>ModelType</dt>
<dd>desired model type</dd>
<dt>Economies</dt>
<dd>name of the economies forming the economic system</dd>
<dt>IdxResp</dt>
<dd>index associated with the response variable</dd>
<dt>IdxShock</dt>
<dd>index associated with the shock variable</dd>
<dt>Ortho</dt>
<dd>Option for orthogonal outputs, for JLL models. Default is FALSE.</dd></dl>

Arguments

Build Confidence intervals for yield-related outputs — BuildCI_Yields

<dl>

<dt>NumOutBounds</dt>
<dd>numerical output set from the bootstrap analysis</dd>


<dt>NumOutPE</dt>
<dd>numerical output set from the point estimate analysis</dd>


<dt>Lab_Int</dt>
<dd>Label of interest. available options are "IRF" and "FEVD"</dd>


<dt>ModelType</dt>
<dd>desired model type</dd>


<dt>Economies</dt>
<dd>name of the economies forming the economic system</dd>


<dt>IdxResp</dt>
<dd>index associated with the response variable</dd>


<dt>IdxShock</dt>
<dd>index associated with the shock variable</dd>


<dt>Ortho</dt>
<dd>Option for orthogonal outputs, for JLL models. Default is FALSE.</dd>

</dl>

BuildCI_Yields: Build Confidence intervals for yield-related outputs

Description

Usage

Arguments