OrthoReg_JLL

Get coefficients from the orthogonalized regressions

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

OrthoReg_JLL function

<dl><dt>JLLinputs</dt>
<dd>List of necessary inputs to estimate JLL-based setups</dd>
<dt>N</dt>
<dd>number of country-specific spanned factors (scalar)</dd>
<dt>FacSet</dt>
<dd>Set of factors used in the estimation of JLL-based setups</dd>
<dt>FactorLab_NonOrth</dt>
<dd>Variable labels of the non-orthogonalized risk factors</dd>
<dt>FactorLab_JLL</dt>
<dd>Variable labels of the orthogonalized risk factors</dd></dl>

Arguments

Get coefficients from the orthogonalized regressions — OrthoReg_JLL

<dl>

<dt>JLLinputs</dt>
<dd>List of necessary inputs to estimate JLL-based setups</dd>


<dt>N</dt>
<dd>number of country-specific spanned factors (scalar)</dd>


<dt>FacSet</dt>
<dd>Set of factors used in the estimation of JLL-based setups</dd>


<dt>FactorLab_NonOrth</dt>
<dd>Variable labels of the non-orthogonalized risk factors</dd>


<dt>FactorLab_JLL</dt>
<dd>Variable labels of the orthogonalized risk factors</dd>

</dl>

OrthoReg_JLL: Get coefficients from the orthogonalized regressions

Description

Usage

Arguments