LabFac

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

LabFac function

<dl><dt>N</dt>
<dd>Integer. Number of country-specific spanned factors.</dd>
<dt>DomVar</dt>
<dd>A character vector containing the names of the domestic variables.</dd>
<dt>GlobalVar</dt>
<dd>A character vector containing the names of the global variables.</dd>
<dt>Economies</dt>
<dd>A character vector containing the names of the economies included in the system.</dd>
<dt>ModelType</dt>
<dd>A character vector indicating the model type to be estimated.</dd></dl>

Arguments

Generates the labels factors — LabFac

<dl>

<dt>N</dt>
<dd>Integer. Number of country-specific spanned factors.</dd>


<dt>DomVar</dt>
<dd>A character vector containing the names of the domestic variables.</dd>


<dt>GlobalVar</dt>
<dd>A character vector containing the names of the global variables.</dd>


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


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

</dl>

LabFac: Generates the labels factors

Description

Usage

Value

Arguments

Examples