GraphicalOutputs

Generate the graphical outputs for the selected models (Point estimate)

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

GraphicalOutputs function

<dl><dt>ModelType</dt>
<dd>A character vector indicating the model type to be estimated.</dd>
<dt>ModelPara</dt>
<dd>List of model parameter estimates (See the "Optimization" function)</dd>
<dt>NumOut</dt>
<dd>list of computed outputs containing the model fit, IRFs, FEVDs, GIRFs, GFEVDs and Term Premia</dd>
<dt>InputsForOutputs</dt>
<dd>list containing the desired inputs for the construction of the desired output</dd>
<dt>Economies</dt>
<dd>A character vector containing the names of the economies included in the system.</dd>
<dt>FactorLabels</dt>
<dd>A list of character vectors with labels for all variables in the model.</dd></dl>

Arguments

Generate the graphical outputs for the selected models (Point estimate) — GraphicalOutputs

<dl>

<dt>ModelType</dt>
<dd>A character vector indicating the model type to be estimated.</dd>


<dt>ModelPara</dt>
<dd>List of model parameter estimates (See the "Optimization" function)</dd>


<dt>NumOut</dt>
<dd>list of computed outputs containing the model fit, IRFs, FEVDs, GIRFs, GFEVDs and Term Premia</dd>


<dt>InputsForOutputs</dt>
<dd>list containing the desired inputs for the construction of the desired output</dd>


<dt>Economies</dt>
<dd>A character vector containing the names of the economies included in the system.</dd>


<dt>FactorLabels</dt>
<dd>A list of character vectors with labels for all variables in the model.</dd>

</dl>

GraphicalOutputs: Generate the graphical outputs for the selected models (Point estimate)

Description

Usage

Arguments