EstimationSigma_GVARrest

Estimate numerically the variance-covariance matrix from the GVAR-based models

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

EstimationSigma_GVARrest function

<dl><dt>SigmaUnres</dt>
<dd>Unrestricted variance-covariance matrix (K x K)</dd>
<dt>res</dt>
<dd>residuals from the VAR of a GVAR model (K x T)</dd>
<dt>IdxVarRest</dt>
<dd>index of the variable that is selected as strictly exogenous</dd></dl>

Arguments

Estimate numerically the variance-covariance matrix from the GVAR-based models — EstimationSigma_GVARrest

<dl>

<dt>SigmaUnres</dt>
<dd>Unrestricted variance-covariance matrix (K x K)</dd>


<dt>res</dt>
<dd>residuals from the VAR of a GVAR model (K x T)</dd>


<dt>IdxVarRest</dt>
<dd>index of the variable that is selected as strictly exogenous</dd>

</dl>

EstimationSigma_GVARrest: Estimate numerically the variance-covariance matrix from the GVAR-based models

Description

Usage

Value

Arguments