Check_label_consistency

Check consistency of labels (economies, domestic and global variables)

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_label_consistency function

<dl><dt>Economies</dt>
<dd>string-vector containing the names of the economies which are part of the economic system</dd>
<dt>DomesticMacroFac</dt>
<dd>time series of the country-specific domestic risk factors (C(M+N) x T)</dd>
<dt>GlobalMacroFac</dt>
<dd>time series of the global risk factors (G X T)</dd>
<dt>DomVarLab</dt>
<dd>string-vector containing the names of the desired domestic risk factors</dd>
<dt>GloVarLab</dt>
<dd>string-vector containing the names of the desired global risk factors</dd></dl>

Arguments

Check consistency of labels (economies, domestic and global variables) — Check_label_consistency

<dl>

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


<dt>DomesticMacroFac</dt>
<dd>time series of the country-specific domestic risk factors (C(M+N) x T)</dd>


<dt>GlobalMacroFac</dt>
<dd>time series of the global risk factors (G X T)</dd>


<dt>DomVarLab</dt>
<dd>string-vector containing the names of the desired domestic risk factors</dd>


<dt>GloVarLab</dt>
<dd>string-vector containing the names of the desired global risk factors</dd>

</dl>

Check_label_consistency: Check consistency of labels (economies, domestic and global variables)

Description

Usage

Arguments