ChecksOOS

Preliminary checks for inputs provided for the performing out-of-sample forecasting

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

ChecksOOS function

<dl><dt>t0Forecast</dt>
<dd>Index of the last set of observations in the information set at the first forecasting round</dd>
<dt>t0Sample</dt>
<dd>Index of the first set of observations in the information set at the first forecasting round</dd>
<dt>nForecasts</dt>
<dd>Number of forecasting sets generated</dd>
<dt>ForecastType</dt>
<dd>Forecast type. Available options are "Rolling" and "Expanding".</dd>
<dt>TimeLength</dt>
<dd>Time-series dimension of the model</dd></dl>

Arguments

Preliminary checks for inputs provided for the performing out-of-sample forecasting — ChecksOOS

<dl>

<dt>t0Forecast</dt>
<dd>Index of the last set of observations in the information set at the first forecasting round</dd>


<dt>t0Sample</dt>
<dd>Index of the first set of observations in the information set at the first forecasting round</dd>


<dt>nForecasts</dt>
<dd>Number of forecasting sets generated</dd>


<dt>ForecastType</dt>
<dd>Forecast type. Available options are "Rolling" and "Expanding".</dd>


<dt>TimeLength</dt>
<dd>Time-series dimension of the model</dd>

</dl>

ChecksOOS: Preliminary checks for inputs provided for the performing out-of-sample forecasting

Description

Usage

Arguments