Reg_K1Q {MultiATSM} | R Documentation |
Estimate the risk-neutral feedbak matrix K1Q using linear regressions
Description
Estimate the risk-neutral feedbak matrix K1Q using linear regressions
Usage
Reg_K1Q(Y, mat, Z, dt, type)
Arguments
Y |
matrix of yields used in estimation (J x T) |
mat |
vector of maturities (in years) of yields used in estimation (J x 1) |
Z |
pricing factors (can be yields-based or non-yields/macro variables) (N x T) |
dt |
time unit of the model (scalar). For instance, if data is (i) monthly, dt <- 12; (ii) quarterly, dt <- 4; (iii) yearly, dt <- 1. |
type |
'Jordan' -> K1Q will be of the Jordan type |
Value
Risk neutral feedback matrix K1Q.
References
This function is based on the "Reg_K1Q" function by Le and Singleton (2018).
"A Small Package of Matlab Routines for the Estimation of Some Term Structure Models."
(Euro Area Business Cycle Network Training School - Term Structure Modelling).
Available at: https://cepr.org/40029
Examples
data(CM_Yields)
Y_China <- Yields[1:6,]
Z_China <- Spanned_Factors(Y_China, Economies ="China", N=3)
mat <-c(0.25 , 0.5 , 1, 3, 5, 10)
dt <- 1/12
type <- 'Jordan'
Reg_K1Q(Y_China, mat, Z_China, dt, type)
[Package MultiATSM version 0.3.6 Index]