CheckInputsGVAR

Check consistency of the inputs provided in GVARinputs

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

CheckInputsGVAR function

<dl><dt>GVARinputs</dt>
<dd>List of inputs for GVAR-based models</dd>
<dt>N</dt>
<dd>number of country-specific spanned factors (scalar)</dd></dl>

Arguments

Check consistency of the inputs provided in GVARinputs — CheckInputsGVAR

<dl>

<dt>GVARinputs</dt>
<dd>List of inputs for GVAR-based models</dd>


<dt>N</dt>
<dd>number of country-specific spanned factors (scalar)</dd>

</dl>

CheckInputsGVAR: Check consistency of the inputs provided in GVARinputs

Description

Usage

Arguments