shrink_Phi

Killan's VAR stationarity adjustment

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

shrink_Phi function

<dl><dt>Phi_tilde</dt>
<dd>VAR (1) bias-corrected feedback matrix from Bauer, Rudebusch and, Wu (2012)</dd>
<dt>Phi_hat</dt>
<dd>unrestricted VAR(1) feedback matrix</dd>
<dt>ev_restr</dt>
<dd>maximum eigenvalue desired in the feedback matrix after the adjustement</dd></dl>

Arguments

Killan's VAR stationarity adjustment — shrink_Phi

<dl>

<dt>Phi_tilde</dt>
<dd>VAR (1) bias-corrected feedback matrix from Bauer, Rudebusch and, Wu (2012)</dd>


<dt>Phi_hat</dt>
<dd>unrestricted VAR(1) feedback matrix</dd>


<dt>ev_restr</dt>
<dd>maximum eigenvalue desired in the feedback matrix after the adjustement</dd>

</dl>

shrink_Phi: Killan's VAR stationarity adjustment

Description

Usage

Value

Arguments

References