| A0N__BnAn | Compute the cross-section loadings of yields of a canonical... |
| Adjust_Const_Type | Adjust the constant label |
| adjust_delta | Adjust delta for numerical differentiation |
| AdjustOptm_BS | Gathers the estimate of the bootstrap draws |
| AdjustPathFEVDs | Generate paths to save IRFs/GIRFs graphs |
| AdjustPathIRFs | Generate paths to save IRFs/GIRFs graphs |
| AdjustYieldsDates | Makes sure that the time series of yields and risk factors... |
| Aux_BlockDiag | Transformation of the block diagonal parameters (auxiliary... |
| Aux_BoundDiag | Transformation of the bounded parameters (auxiliary form) |
| Aux_JLLstruct | Transformation of the JLL-related parameters (auxiliary form) |
| Aux_Jordan | Transformation of the Jordan-related parameters (auxiliary... |
| Aux_PSD | Transformation of a PSD matrix (auxiliary form) |
| Bias_Correc_VAR | Estimates an unbiased VAR(1) using stochastic approximation... |
| Boot_DataGraphFact_perShock | Generates the desired bootstrap graphs |
| Boot_DataGraphYield_perShock | Generates the desired bootstrap graphs |
| Boot_Fac_Graphs | Build P-dynamic graphs after the bootstrap implementation |
| Boot_graph_template | Builds template from bootstrap-related graphs |
| Bootstrap | Generates the bootstrap-related outputs |
| BootstrapBoundsSet | Builds the confidence bounds and graphs (Bootstrap set) |
| Boot_Yields_Graphs | Build P-dynamic graphs after the bootstrap implementation |
| bound2x | Transform a number bounded between a lower bound and upper... |
| BR_jps_out | Replications of the JPS (2014) outputs by Bauer and Rudebusch... |
| BuildATSM_RiskFactors | Builds the time series of the risk factors that are used in... |
| BuildCI_Yields | Build Confidence intervals for yield-related outputs |
| BuildFEVDlist | Build the list of IRF and GIRF for both factors and bond... |
| BuildGVAR | Build the GVAR(1) from the country-specific VARX(1,1,1) |
| BuildIRFlist | Build the list of IRF and GIRF for both factors and bond... |
| BuildLinkMat | Build country-specific link matrices |
| BuildRiskFactors_BS | Build the time-series of the risk factors in each bootstrap... |
| Build_xvec | Obtain the auxiliary values corresponding to each parameter,... |
| BuildYields_BS | Build the time-series of bond yields for each bootstrap draw |
| BUnspannedAdapJoint | Transform B_spanned into B_unspanned for jointQ models |
| BUnspannedAdapSep | Transform B_spanned into B_unspanned for sepQ models |
| BUnspannedAdapSep_BS | Obtain the full form of B unspanned for "sep Q" models within... |
| Check_comparison__OLS | check whether mean/median of OLS is close to actual OLS... |
| CheckInputsForMLE | Check consistence of inputs |
| CheckInputsGVAR | Check consistency of the inputs provided in GVARinputs |
| CheckJLLinputs | Check consistency of the inputs provided in JLL-based models |
| Check_label_consistency | Check consistency of labels (economies, domestic and global... |
| ChecksOOS | Preliminary checks for inputs provided for the performing... |
| CholRestrictionsJLL | Impose the zero-restrictions on the Cholesky-factorization... |
| CleanOrthoJLL_Boot | Clean unnecessary outputs of JLL models in the bootstrap... |
| Compute_BnX_AnX | Compute the latent loading AnX and BnX |
| ComputeBounds_FEVDandGFEVD | Compute the confidence bounds around the P-dynamics and bond... |
| ComputeBounds_IRFandGIRF | Compute the confidence bounds from the model's numerical... |
| Compute_EP | Compute the expected component for all models |
| ComputeFEVDs | Compute FEVDs for all models |
| ComputeGFEVDs | Compute GFEVDs for all models |
| ComputeGIRFs | Compute GIRFs for all models |
| ComputeIRFs | Compute IRFs of all models |
| Convert2JordanForm | Convert a generic matrix to its Jordan form |
| DatabasePrep | Gather data of several countries in a list. Particularly... |
| DataForEstimation | Retrieves data from Excel and build the database used in the... |
| DataSet_BS | Prepare the factor set for GVAR models (Bootstrap version) |
| df__dx | Computes numerical first order derivative of f(x) |
| DomesticMacroVar | Data: Risk Factors - Candelon and Moura (2024, JFEC) |
| DomMacro | Data: Risk Factors for the GVAR - Candelon and Moura (2023) |
| EstimationSigma_GVARrest | Estimate numerically the variance-covariance matrix from the... |
| EstimationSigma_Ye | Estimate numerically the Cholesky-factorization from the... |
| estVARbrw | Estimate a VAR(1) - suited to Bauer, Rudebusch and Wu (2012)... |
| ExpectedComponent | Get the expected component of all models |
| FacQuantile_bs | Compute quantiles for model P-dynamics |
| FactorBounds_FEVDandGFEVD | Compute the confidence bounds for the model bond... |
| FactorBounds_IRFandGIRF | Compute the confidence bounds for the model P-dynamics |
| FactorsGVAR | Data: Risk Factors for the GVAR - Candelon and Moura (2024,... |
| Factors_NonOrtho | Makes the pre-allocation of the factors set for JLL-based... |
| FeedbackMat_BS | Compute the Feedback matrix of each bootstrap draw |
| FeedbackMatrixRestrictionsJLL | Set the zero-restrictions on the feedback matrix of JLL's... |
| FEVDandGFEVD | FEVDs and GFEVDs for all models |
| FEVDandGFEVDbs | Creates the confidence bounds and the graphs of FEVDs and... |
| FEVDandGFEVD_BS | FEVDs and GFEVDs after bootstrap for all models |
| FEVDandGFEVDgraphs | FEVD and GFEVD graphs for all models |
| FEVDandGFEVDs_Graphs | Generates graphs for FEVDs and GFEVDs |
| FF | mean of the llk function used in the estimation of the... |
| FFtemporary | Mean of the llk function used in the estimation of the... |
| Fitgraphs | Model fit graphs for all models |
| Fit_Subplot | Build subplot for fitted yields |
| FMN__Rotate | Performs state rotations |
| FolderCreationBoot | Creates the folders and the path in which the graphical... |
| FolderCreation_Boot | Creates folder to store graphs generated from the bootstrap... |
| FolderCreationPoint | Creates the folders and the path in which the graphical... |
| FolderPrep_FEVDs | Create folders for storing IRFs and GIRFs |
| FolderPrep_IRFs | Create folders for storing IRFs and GIRFs |
| ForecastYields | Generates forecasts of bond yields for all model types |
| ForwardPremia | Compute the forward premia for all models |
| Functionf | Set up the vector-valued objective function (Point estimate) |
| Functionf_vectorized | Use function f to generate the outputs from a ATSM |
| Gather_Forecasts | Gather several forecast dates |
| GaussianDensity | computes the density function of a gaussian process |
| Gen_Artificial_Series | Generate artificial time-series in the bootstrap setup |
| GeneralMLEInputs | Gathers the general inputs for model estimation |
| Gen_Forecast_Yields | Compute the bond yield forecast for any model type |
| genVARbrw | Generate M data sets from VAR(1) model |
| Get_a0 | Obtain the country-specific a0 |
| Get_As | Compute the A loadings |
| GetAuxPara | Map constrained parameters b to unconstrained auxiliary... |
| Get_BFull | Compute the B matrix of loadings |
| Get_Bs | Build the B loadings |
| Getdt | Get delta t |
| Get_G0G1Sigma | Get the intercept, feedback matrix and the... |
| Get_Gy1 | Compute the feedback matrix from a GVAR model with global... |
| GetLabels_JLL | Generate the variable labels of the JLL models |
| GetLabels_sepQ | Generate the factor labels for models estimated on a... |
| Get_llk | Compute the log-likelihood function |
| GetPdynPara | Compute the parameters used in the P-dynamics of the model |
| GetPdynPara_BC | Compute P-dynamics parameters using the bias correction... |
| GetPdynPara_NoBC | Compute P-dynamics parameters without using the bias... |
| Get_r0 | Compute r0 for the various models |
| Get_Sigma_JLL | Compute Sigmas/Cholesky factorizations |
| Get_SigmaYields | Compute the variance-covariance matrix of the bond yields |
| GetTruePara | Map auxiliary (unconstrained) parameters a to constrained... |
| Get_Unspanned | Collect both the domestic and global unspanned factors of all... |
| Get_V_tilde_BC | Compute the variance-covariance matrix after the bias... |
| GetYields_AllCountries | Gather all country-specific yields in a single matrix of... |
| GlobalMacro | Data: Risk Factors - Candelon and Moura (2023) |
| GlobalMacroVar | Data: Risk Factors - Candelon and Moura (2024, JFEC) |
| GraphicalOutputs | Generate the graphical outputs for the selected models (Point... |
| GVAR | Estimates a GVAR(1) and a VARX(1,1,1) models |
| GVAR_PrepFactors | Prepare risk factors for the estimation of the GVAR model |
| IdxAllSpanned | Find the indexes of the spanned factors |
| IdxSpanned | Extract the indexes related to the spanned factors in the... |
| Idx_UnspanFact | Obtain the indexes of both the domestic and global unspanned... |
| IDXZeroRestrictionsJLLVarCovOrtho | Find the indexes of zero-restrictions from the orthogonalized... |
| ImposeStat_Aux | Impose stationary constraint under the risk-neutral measure |
| ImposeStat_True | Makes sure that the stationary constraint under the... |
| InputsForOpt | Generates inputs necessary to build the likelihood function... |
| InputsForOutputs | Collects the inputs that are used to construct the numerical... |
| IRFandGIRF | IRFs and GIRFs for all models |
| IRFandGIRFbs | Creates the confidence bounds and the graphs of IRFs and... |
| IRFandGIRF_BS | IRFs and GIRFs after bootstrap for all models |
| IRFandGIRFgraphs | IRF and GIRF graphs for all models |
| IRFandGIRFs_Format_Fac | Gather data for IRFs and GIRFs grahs (version "Factors") |
| IRFandGIRFs_Format_Yields | Gather data for IRFs and GIRFs grahs (version "Yields") |
| JLL | Estimates the P-dynamics from JLL-based models |
| Jordan_JLL | Check for JLL models for Jordan restrictions (auxiliary form) |
| K1XQStationary | Impose stationarity under the Q-measure |
| LabelsSpanned | Generate the labels of the spanned factors |
| LabelsStar | Generate the labels of the star variables |
| LabFac | Generates the labels factors |
| llk_JLL_Sigma | Build the log-likelihood function of the P-dynamics from the... |
| LoadData | Loads data sets from several papers |
| MarginalModelPara | Estimate the marginal model for the global factors |
| MatAdjusted | Adjust vector of maturities |
| Maturities | Create a vector of numerical maturities in years |
| MLEdensity | Compute the maximum likelihood function of all models |
| ModelPara | Replications of the JPS (2014) outputs by the MultiATSM... |
| MultiATSM | ATSM Package |
| mult__prod | Efficient computation of matrix product for arrays |
| m_var | Find mean or median of OLS when DGP is VAR(1) |
| NoOrthoVAR_JLL | Obtain the non-orthogonalized model parameters |
| NumOutputs | Constructs the model numerical outputs (model fit, IRFs,... |
| NumOutputs_Bootstrap | Numerical outputs (IRFs, GIRFs, FEVD, and GFEVD) for... |
| OOS_Forecast | Perform out-of-sample forecast of bond yields |
| Optimization | Perform the optimization of the log-likelihood function of... |
| Optimization_PE | Peform the minimization of mean(f) |
| OptimizationSetup_ATSM | Optimization routine for the entire selected ATSM |
| Optimization_Time | Compute the time elapsed in the numerical optimization |
| OptOutputs | Prepare outputs to export after the model optimization |
| OrthoReg_JLL | Get coefficients from the orthogonalized regressions |
| OrthoVAR_JLL | VAR(1) with orthogonalized factors (JLL models) |
| Out | Complete list of several outputs from an ATSM |
| OutputConstruction | Numerical outputs (variance explained, model fit, IRFs,... |
| Outputs2exportMLE | Prepares inputs to export |
| ParaATSM_opt_ALL | Update the list of parameters |
| ParaLabelsOpt | Create the variable labels used in the estimation |
| pca_weights_one_country | Computes the PCA weights for a single country |
| PdynResid_BS | Compute some key parameters from the P-dynamics (Bootstrap... |
| plot.ATSMModelForecast | Plot method for ATSMModelForecast objects |
| pos2x | Transform a positive number y to back to x by: |
| print.ATSMModelInputs | Print method for ATSMModelInputs objects |
| Reg_K1Q | Estimate the risk-neutral feedbak matrix K1Q using linear... |
| Reg__OLSconstrained | Restricted OLS regression |
| RemoveNA | Exclude series that contain NAs |
| ResampleResiduals_BS | Compute the residuals from the original model |
| residY_original | Compute the residuals from the observational equation |
| rhoParas | Compute risk-neutral intercept and slope |
| RiskFactors | Data: Risk Factors - Candelon and Moura (2024, JFEC) |
| RiskFactorsGraphs | Spanned and unspanned factors plot |
| RiskFactorsPrep | Builds the complete set of time series of the risk factors... |
| RMSE | Compute the root mean square error for all models |
| shrink_Phi | Killan's VAR stationarity adjustment |
| Spanned_Factors | Computes the country-specific spanned factors |
| SpecificMLEInputs | Concatenate the model-specific inputs in a list |
| sqrtm_robust | Compute the square root of a matrix |
| StarFactors | Generates the star variables necessary for the GVAR... |
| summary.ATSMModelInputs | Summary method for ATSMModelInputs objects |
| summary.ATSMModelOutputs | Summary method for ATSMModelOutputs objects |
| TermPremia | Compute the term premia |
| TermPremiaDecomp | Decomposition of yields into the average of expected future... |
| TimeVarWeights_GVAR | Compute the star variables with time-varying weights |
| TPDecompGraph | Term Premia decomposition graphs for all models |
| TradeFlows | Data: Trade Flows - Candelon and Moura (2024, JFEC) |
| Trade_Flows | Data: Trade Flows - Candelon and Moura (2023) |
| Transition_Matrix | Computes the transition matrix required in the estimation of... |
| True_BlockDiag | Transformation of the block diagonal parameters (true form) |
| True_BoundDiag | Transformation of the bounded parameters (True form) |
| True_JLLstruct | Transformation of the JLL-related parameters (true form) |
| True_Jordan | Transformation of the Jordan-related parameters (True form) |
| True_PSD | Transformation of a PSD matrix (true form) |
| Update_ParaList | converts the vectorized auxiliary parameter vector x to the... |
| Update_SSZ_JLL | Update the variance-covariance matrix from the "JLL joint... |
| VAR | Estimates a standard VAR(1) |
| VarianceExplained | Percentage explained by the spanned factors of the variations... |
| VARX | Estimate a VARX(1,1,1) |
| Wished_Graphs_FEVDandGFEVD | Extract list of desired graph features (IRFs anc GIRFs) |
| Wished_Graphs_IRFandGIRF | Extract list of desired graph features (IRFs anc GIRFs) |
| WishGraphs_FEVDandGFEVD_Boot | Extract graphs of interest (bootstrap version) |
| WishGraphs_IRFandGIRF_Boot | Extract graphs of interest (bootstrap version) |
| x2bound | Transform x to a number bounded btw lb and ub by: |
| x2pos | Transform x to a positive number by: y = log(e^x + 1) |
| Y_Fit | Model-implied yields (cross-section) |
| YieldBounds_FEVDandGFEVD | Compute the confidence bounds for the model bond... |
| YieldBounds_IRFandGIRF | Compute the confidence bounds for the model bond... |
| YieldFor | Compile the bond yield forecast for any model type |
| YieldQuantile_bs | Compute quantiles for model bond yield-related outputs |
| Yields | Data: Yields - Candelon and Moura (2024, JFEC) |
| YieldsFit | Computes two measures of model fit for bond yields (all... |
| YieldsFitAll | Fit yields for all maturities of interest |
| Y_ModImp | Model-implied yields (P-dynamics) |
