Reg__OLSconstrained

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

Reg__OLSconstrained function

<dl><dt>Y</dt>
<dd>left hand side variables (M x T)</dd>
<dt>X</dt>
<dd>regressors (i.e. N-1 variables + the intercept) (N x T)</dd>
<dt>Bcon</dt>
<dd>constraints matrix (M x N). If Bcon(i,j) = nan --&gt; B(i,j) is a free parameter</dd>
<dt>G</dt>
<dd>weighting matrix (psd) - (M x M). Default is set to be identity</dd></dl>

Arguments

Restricted OLS regression — Reg__OLSconstrained

<dl>

<dt>Y</dt>
<dd>left hand side variables (M x T)</dd>


<dt>X</dt>
<dd>regressors (i.e. N-1 variables + the intercept) (N x T)</dd>


<dt>Bcon</dt>
<dd>constraints matrix (M x N). If Bcon(i,j) = nan --&gt; B(i,j) is a free parameter</dd>


<dt>G</dt>
<dd>weighting matrix (psd) - (M x M). Default is set to be identity</dd>

</dl>

Reg__OLSconstrained: Restricted OLS regression

Description

Usage

Value

Arguments

Details

References