NumOutputs_Bootstrap

Numerical outputs (IRFs, GIRFs, FEVD, and GFEVD) for 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

NumOutputs_Bootstrap function

<dl><dt>ModelType</dt>
<dd>A character vector indicating the model type to be estimated.</dd>
<dt>ModelParaBoot</dt>
<dd>A list of model parameter estimates (see the "Optimization" function) after a bootstrap draw</dd>
<dt>InputsForOutputs</dt>
<dd>A list containing the necessary inputs for generating IRFs, GIRFs, FEVDs, GFEVDs and Term Premia.</dd>
<dt>FactorLabels</dt>
<dd>A list of character vectors with labels for all variables in the model.</dd>
<dt>Economies</dt>
<dd>A character vector containing the names of the economies included in the system.</dd></dl>

Arguments

Numerical outputs (IRFs, GIRFs, FEVD, and GFEVD) for bootstrap — NumOutputs_Bootstrap

<dl>

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


<dt>ModelParaBoot</dt>
<dd>A list of model parameter estimates (see the "Optimization" function) after a bootstrap draw</dd>


<dt>InputsForOutputs</dt>
<dd>A list containing the necessary inputs for generating IRFs, GIRFs, FEVDs, GFEVDs and Term Premia.</dd>


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


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

</dl>

NumOutputs_Bootstrap: Numerical outputs (IRFs, GIRFs, FEVD, and GFEVD) for bootstrap

Description

Usage

Arguments