Get_As

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

Get_As function

<dl><dt>LoadBs</dt>
<dd>list containing the B loadings</dd>
<dt>Wpca</dt>
<dd>matrix of weights of the portfolios observed without errors (N x J or CN x J)</dd>
<dt>r0</dt>
<dd>long-run interest rate (scalar or vector with length C)</dd>
<dt>dt</dt>
<dd>time interval unit of the model (scalar). For instance, if data is (i) monthly, dt &lt;- 12; (ii) quarterly, dt &lt;- 4; (iii) yearly, dt &lt;- 1</dd>
<dt>Economies</dt>
<dd>string-vector containing the names of the economies which are part of the economic system</dd>
<dt>ModelType</dt>
<dd>string-vector containing the label of the model to be estimated</dd></dl>

Arguments

Compute the A loadings — Get_As

<dl>

<dt>LoadBs</dt>
<dd>list containing the B loadings</dd>


<dt>Wpca</dt>
<dd>matrix of weights of the portfolios observed without errors (N x J or CN x J)</dd>


<dt>r0</dt>
<dd>long-run interest rate (scalar or vector with length C)</dd>


<dt>dt</dt>
<dd>time interval unit of the model (scalar). For instance, if data is (i) monthly, dt &lt;- 12; (ii) quarterly, dt &lt;- 4; (iii) yearly, dt &lt;- 1</dd>


<dt>Economies</dt>
<dd>string-vector containing the names of the economies which are part of the economic system</dd>


<dt>ModelType</dt>
<dd>string-vector containing the label of the model to be estimated</dd>

</dl>

Get_As: Compute the A loadings

Description

Usage

Arguments