MultiATSM (version 1.3.0)

GetTruePara: Map auxiliary (unconstrained) parameters a to constrained parameters b

Description

Map auxiliary (unconstrained) parameters a to constrained parameters b

Usage

GetTruePara(
  ParaValue,
  Const_Type_Full,
  lb,
  ub,
  FactorLabels,
  Economies,
  JLLinputs = NULL,
  GVARinputs = NULL
)

Arguments

ParaValue

unconstrained auxiliary parameter

Const_Type_Full

One of the following options:

• 'Jordan'

• 'Jordan; stationary'

• 'Jordan MultiCountry'

• 'Jordan MultiCountry; stationary'

• 'psd';

• 'BlockDiag'

• 'bounded'

• 'diag'

• 'JLLstructure'

lb

lower bounds of b (if option 'bounded' is chosen)

ub

upper bounds of b (if option 'bounded' is chosen)

FactorLabels

string-list based which contains the labels of all the variables present in the model

Economies

string-vector containing the names of the economies which are part of the economic system

JLLinputs

Inputs used in the estimation of the JLL-based models

GVARinputs

Inputs used in the estimation of the GVAR-based models

References

This function is a modified and extended of the "aux2true" function by Le and Singleton (2018).
"A Small Package of Matlab Routines for the Estimation of Some Term Structure Models."
(Euro Area Business Cycle Network Training School - Term Structure Modelling). Available at: https://cepr.org/40029