IRFandGIRFbs

Creates the confidence bounds and the graphs of IRFs and GIRFs after bootstrap

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

IRFandGIRFbs function

<dl><dt>ModelType</dt>
<dd>string-vector containing the label of the model to be estimated</dd>
<dt>ModelBootstrap</dt>
<dd>list containing the complete set of model parameters after bootstrap estimation procedure</dd>
<dt>NumOutPE</dt>
<dd>list of model parameter point estimates</dd>
<dt>InputsForOutputs</dt>
<dd>list containing the desired inputs for the construction of the outputs of interest</dd>
<dt>Economies</dt>
<dd>string-vector containing the names of the economies which are part of the economic system</dd>
<dt>PathsGraphs</dt>
<dd>path of the folder in which the graphs will be saved</dd></dl>

Arguments

Creates the confidence bounds and the graphs of IRFs and GIRFs after bootstrap — IRFandGIRFbs

<dl>

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


<dt>ModelBootstrap</dt>
<dd>list containing the complete set of model parameters after bootstrap estimation procedure</dd>


<dt>NumOutPE</dt>
<dd>list of model parameter point estimates</dd>


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


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


<dt>PathsGraphs</dt>
<dd>path of the folder in which the graphs will be saved</dd>

</dl>

IRFandGIRFbs: Creates the confidence bounds and the graphs of IRFs and GIRFs after bootstrap

Description

Usage

Arguments