Get_Unspanned

Collect both the domestic and global unspanned factors of all countries in single matrices

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_Unspanned function

<dl><dt>ModelPara</dt>
<dd>List of model parameter estimates</dd>
<dt>FactorLabels</dt>
<dd>A string-list based which contains all the labels of all the variables present in the model</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>A string-vector containing the label of the model to be estimated</dd></dl>

Arguments

Collect both the domestic and global unspanned factors of all countries in single matrices — Get_Unspanned

<dl>

<dt>ModelPara</dt>
<dd>List of model parameter estimates</dd>


<dt>FactorLabels</dt>
<dd>A string-list based which contains all the labels of all the variables present in the model</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>A string-vector containing the label of the model to be estimated</dd>

</dl>

Get_Unspanned: Collect both the domestic and global unspanned factors of all countries in single matrices

Description

Usage

Arguments