Bootstrap {MultiATSM} | R Documentation |
Generates the bootstrap-related outputs
Description
Generates the bootstrap-related outputs
Usage
Bootstrap(
ModelType,
ModelParaPE,
NumOutPE,
mat,
Economies,
InputsForOutputs,
FactorLabels,
DataFrequency,
vararginPE,
JLLinputs = NULL,
GVARinputs = NULL,
BRWinputs = NULL
)
Arguments
ModelType |
string-vector containing the label of the model to be estimated |
ModelParaPE |
point estimate from the model parameters (see the outputs of the "Optimization" function) |
NumOutPE |
point estimate from the numerical outputs (see the outputs of the "NumOutputs" function) |
mat |
vector of maturities (in years) used in the estimation |
Economies |
string-vector containing the names of the economies which are part of the economic system |
InputsForOutputs |
list containing the desired inputs for the construction of IRFs, GIRFs, FEVDs, and GFEVDs. |
FactorLabels |
string-list based which contains the labels of all the variables present in the model |
DataFrequency |
character-based vector: "Daily All Days", "Daily Business Days", "Weekly", "Monthly", "Quarterly", "Annually" |
vararginPE |
list containg starting values and constraints (see arguments of the "Optimization" function) |
JLLinputs |
list of necessary inputs for the estimation of JLL-based models (see "JLL" function) |
GVARinputs |
list of necessary inputs for the estimation of GVAR-based models (see "GVAR" function) |
BRWinputs |
list of necessary inputs for performing the bias-corrected estimation (see "Bias_Correc_VAR" function) |
Value
list containing the following elements:
list of model parameters for one each one the draws;
list of numerical outputs (IRFs, GIRFs, FEVDs, GFEVDs) for each one of the draws;
Confidence bands for the chosen level of significance.
References
This function is a modified and extended version of the "VARirbound" function from "A toolbox for VAR analysis" by Ambrogio Cesa-Bianchi (https://github.com/ambropo/VAR-Toolbox)
Examples
# See examples in the vignette file of this package (Section 4).