FeedbackMatrixRestrictionsJLL

Set the zero-restrictions on the feedback matrix of JLL's P-dynamics

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

FeedbackMatrixRestrictionsJLL function

<dl><dt>DomUnit</dt>
<dd>Name of the economy which is assigned as the dominant unit. 
If no dominant unit is assigned, then this variable is defined as "none"</dd>
<dt>K</dt>
<dd>Total number of risk factors of the economic system (scalar)</dd>
<dt>G</dt>
<dd>Number of global unspanned factors (scalar)</dd>
<dt>M</dt>
<dd>Number of country-specific unspanned factors (scalar)</dd>
<dt>N</dt>
<dd>Number of country-specific spanned factors (scalar)</dd></dl>

Arguments

Set the zero-restrictions on the feedback matrix of JLL's P-dynamics — FeedbackMatrixRestrictionsJLL

<dl>

<dt>DomUnit</dt>
<dd>Name of the economy which is assigned as the dominant unit. 
If no dominant unit is assigned, then this variable is defined as "none"</dd>


<dt>K</dt>
<dd>Total number of risk factors of the economic system (scalar)</dd>


<dt>G</dt>
<dd>Number of global unspanned factors (scalar)</dd>


<dt>M</dt>
<dd>Number of country-specific unspanned factors (scalar)</dd>


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

</dl>

FeedbackMatrixRestrictionsJLL: Set the zero-restrictions on the feedback matrix of JLL's P-dynamics

Description

Usage

Value

Arguments