Multicountry Term Structure of Interest Rates Models

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Documentation for package ‘MultiATSM’ version 0.3.6

• DESCRIPTION file.
• User guides, package vignettes and other documentation.

Help Pages

MultiATSM-package	ATSM Package
Bias_Correc_VAR	Estimate an unbiased VAR(1) using stochastic approximation (Bauer, Rudebusch and Wu, 2012)
Bootstrap	Generates the bootstrap-related outputs
BR_jps_out	Replications of the JPS (2014) outputs by Bauer and Rudebusch (2017)
DatabasePrep	Prepare the GVARFactors database
DataForEstimation	Retrieve data from Excel and build the database used in the model estimation
FactorsGVAR	Data: Risk Factors for the GVAR - Candelon and Moura (forthcoming, JFEC)
ForecastYields	Gather bond yields forecasts for all the model types
Functionf	Set up the vector-valued objective function (Point estimate)
GVAR	Estimate a GVAR(1) and a VARX(1,1,1)
GVARFactors	Data: Risk Factors for the GVAR - Candelon and Moura (2023)
InputsForMLEdensity	Generates several inputs that are necessary to build the likelihood function
InputsForOutputs	Collect the inputs that are used to construct the numerical and the graphical outputs
JLL	Set of inputs present at JLL's P-dynamics
K1XQStationary	Impose stationarity under the Q-measure
LabFac	Generates the labels factors
ListModelInputs	Concatenate the model-specific inputs in a list
Maturities	Create a vector of numerical maturities in years
ModelPara	Replications of the JPS (2014) outputs by the MultiATSM package
MultiATSM	ATSM Package
NumOutputs	Construct the model numerical outputs (model fit, IRFs, GIRFs, FEVDs, GFEVDs, and risk premia decomposition)
Optimization	Peform the minimization of mean(f)
ParaLabels	Create the variable labels used in the estimation
pca_weights_one_country	Weigth matrix from principal components (matrix of eigenvectors)
Reg_K1Q	Estimate the risk-neutral feedbak matrix K1Q using linear regressions
RiskFactors	Data: Risk Factors - Candelon and Moura (forthcoming, JFEC)
RMSEsep	Compute the root mean square error ("sep Q" models)
Spanned_Factors	Compute the country-specific spanned factors
StarFactors	Generates the star variables necessary for the GVAR estimation
TradeFlows	Data: Trade Flows - Candelon and Moura (forthcoming, JFEC)
Trade_Flows	Data: Trade Flows - Candelon and Moura (2023)
Transition_Matrix	Compute the transition matrix required in the estimation of the GVAR model
VAR	Estimates a VAR(1)
Yields	Data: Yields - Candelon and Moura (forthcoming, JFEC)