DataSet_BS

Prepare the factor set for GVAR models (Bootstrap version)

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

DataSet_BS function

<dl><dt>ModelType</dt>
<dd>A character vector containing the label of the model to be estimated.</dd>
<dt>RiskFactors</dt>
<dd>A matrix of the complete set of risk factors (K x T).</dd>
<dt>Wgvar</dt>
<dd>A transition matrix from GVAR models (C x C).</dd>
<dt>Economies</dt>
<dd>A character vector containing the names of the economies included in the system.</dd>
<dt>FactorLabels</dt>
<dd>A list of character vectors with labels for all variables in the model.</dd></dl>

Arguments

Prepare the factor set for GVAR models (Bootstrap version) — DataSet_BS

<dl>

<dt>ModelType</dt>
<dd>A character vector containing the label of the model to be estimated.</dd>


<dt>RiskFactors</dt>
<dd>A matrix of the complete set of risk factors (K x T).</dd>


<dt>Wgvar</dt>
<dd>A transition matrix from GVAR models (C x C).</dd>


<dt>Economies</dt>
<dd>A character vector containing the names of the economies included in the system.</dd>


<dt>FactorLabels</dt>
<dd>A list of character vectors with labels for all variables in the model.</dd>

</dl>

DataSet_BS: Prepare the factor set for GVAR models (Bootstrap version)

Description

Usage

Value

Arguments