MultiATSM (version 1.3.0)

Gen_Forecast_Yields: Compute the bond yield forecast for any model type

Description

Compute the bond yield forecast for any model type

Usage

Gen_Forecast_Yields(
  K0Z,
  K1Z,
  A,
  Bfull,
  ZZsubsample,
  C,
  J,
  YieldsLabels,
  ForLabels,
  ForHoriz,
  ModelType
)

Arguments

K0Z

Intercept from the P-dynamics (F x 1)

K1Z

Feedback matrix from the P-dynamics (F x F)

A

Intercept of model-implied yields model (J x 1)

Bfull

Slope of model-implied yields model (J x N or CJ x CN)

ZZsubsample

Sub-sample of risk factors (F x t)

C

Number of countries in the economic cohort (scalar)

J

Number of country-specific bond yields

YieldsLabels

Labels of bond yields

ForLabels

Forecast labels (string-based vector)

ForHoriz

Forecast horizon (scalar)

ModelType

A string-vector containing the label of the model to be estimated