True_BlockDiag

Transformation of the block diagonal parameters (true form)

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

True_BlockDiag function

<dl><dt>ParaValue</dt>
<dd>Constrained parameter</dd>
<dt>Const_Type</dt>
<dd>Type of constraint</dd>
<dt>FactorLabels</dt>
<dd>string-list based which contains the labels of all the variables present in the model</dd>
<dt>Economies</dt>
<dd>string-vector containing the names of the economies which are part of the economic system</dd>
<dt>GVARinputs</dt>
<dd>Inputs used in the estimation of the GVAR-based models</dd></dl>

Arguments

Transformation of the block diagonal parameters (true form) — True_BlockDiag

<dl>

<dt>ParaValue</dt>
<dd>Constrained parameter</dd>


<dt>Const_Type</dt>
<dd>Type of constraint</dd>


<dt>FactorLabels</dt>
<dd>string-list based which contains the labels of all the variables present in the model</dd>


<dt>Economies</dt>
<dd>string-vector containing the names of the economies which are part of the economic system</dd>


<dt>GVARinputs</dt>
<dd>Inputs used in the estimation of the GVAR-based models</dd>

</dl>

True_BlockDiag: Transformation of the block diagonal parameters (true form)

Description

Usage

Arguments