Check_comparison__OLS

check whether mean/median of OLS is close to actual OLS estimates

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

Check_comparison__OLS function

<dl><dt>theta_tilde</dt>
<dd>feedback matrix after the bias correction procedure</dd>
<dt>theta_OLS</dt>
<dd>feedback matrix obtained by OLS estimation (without bias correction)</dd>
<dt>B_check</dt>
<dd>number of bootstrap samples used in the closeness check</dd>
<dt>RiskFactors</dt>
<dd>time series of the risk factors (F x T)</dd>
<dt>N</dt>
<dd>number of country-specific spanned factors (scalar)</dd>
<dt>GVARinputs</dt>
<dd>inputs used in the estimation of the GVAR-based models (see "GVAR" function). Default is set to NULL</dd>
<dt>JLLinputs</dt>
<dd>inputs used in the estimation of the JLL-based models (see "JLL" function). Default is set to NULL</dd>
<dt>FactorLabels</dt>
<dd>string-list based which contains the labels of all 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>ModelType</dt>
<dd>string-vector containing the label of the model to be estimated</dd></dl>

Arguments

check whether mean/median of OLS is close to actual OLS estimates — Check_comparison__OLS

<dl>

<dt>theta_tilde</dt>
<dd>feedback matrix after the bias correction procedure</dd>


<dt>theta_OLS</dt>
<dd>feedback matrix obtained by OLS estimation (without bias correction)</dd>


<dt>B_check</dt>
<dd>number of bootstrap samples used in the closeness check</dd>


<dt>RiskFactors</dt>
<dd>time series of the risk factors (F x T)</dd>


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


<dt>GVARinputs</dt>
<dd>inputs used in the estimation of the GVAR-based models (see "GVAR" function). Default is set to NULL</dd>


<dt>JLLinputs</dt>
<dd>inputs used in the estimation of the JLL-based models (see "JLL" function). Default is set to NULL</dd>


<dt>FactorLabels</dt>
<dd>string-list based which contains the labels of all 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>ModelType</dt>
<dd>string-vector containing the label of the model to be estimated</dd>

</dl>

Check_comparison__OLS: check whether mean/median of OLS is close to actual OLS estimates

Description

Usage

Arguments