MultiATSM (version 1.3.0)

OOS_Forecast: Perform out-of-sample forecast of bond yields

Description

Perform out-of-sample forecast of bond yields

Usage

OOS_Forecast(
  ForHoriz,
  t_Last,
  ModelParaList,
  FactorLabels,
  Yields_FullSample,
  Economies,
  ModelType
)

Arguments

ForHoriz

Forecast horizon-ahead (scalar)

t_Last

Index of the last set of observations in the information set at a given forecasting round

ModelParaList

List of model parameter estimates

FactorLabels

A string-list based which contains all the labels of all the variables present in the model

Yields_FullSample

Time-series of bond yields, complete set (J x T or CJ x T)

Economies

String-vector containing the names of the economies which are part of the economic system

ModelType

A string-vector containing the label of the model to be estimated