| 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... |
| autoplot | Autoplot generic function |
| autoplot.ATSMModelBoot | Autoplot method for ATSMModelBoot objects |
| autoplot.ATSMNumOutputs | Autoplot method for ATSMNumOutputs objects |
| Aux_BlockDiag | Transformation of the block diagonal parameters (auxiliary... |
| Aux_JLLstruct | Transformation of the JLL-related parameters (auxiliary form) |
| Aux_Jordan | Transformation of the Jordan-related parameters (auxiliary... |
| Aux_jordan_OneCountry | Auxiliary function for a single-country specification |
| 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 |
| 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... |
| 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_NoBC | check how close the mean or median of the bias-corrected... |
| CheckInput_K1X | Input validation for the 'FeedMat_Q' function |
| 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... |
| check_numeric | Check for presence of NAs and infinite in numeric variables |
| CheckNumericalPrecision | Check Numerical Precision Issues of K1_root matrix |
| ChecksOOS | Preliminary checks for inputs provided for the performing... |
| CholRestrictionsJLL | Impose the zero-restrictions on the Cholesky-factorization... |
| clean_labels | Modify variable labels to make legends more readable |
| 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 |
| DatabasePrep | Gather data of several countries in a list. Particularly... |
| DataForEstimation | Retrieves data from Excel and builds the database used in the... |
| DataSet_BS | Prepare the factor set for GVAR models (Bootstrap version) |
| DomMacro | Data: domestic risk factors - Candelon and Moura (2024, JFEC) |
| DomMacro_covid | 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... |
| Est_K1h | Estimate K1h |
| Est_RestOLS | Estimate a restricted OLS model |
| 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 |
| 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... |
| FeedMat_M | Computes an average or median feedback matrix across several... |
| FeedMat_Q | Get an estimate for the risk-neutral (Q) feedback matrix |
| 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 |
| Fitgraphs | Model fit graphs for all models |
| Fit_Subplot | Build subplot for fitted yields |
| 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 |
| FunctionML_vec | Use function ML 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 |
| Gen_art_series | Simulate N_Boot dataset from the P-dynamics |
| GeneralMLEInputs | Gathers the general inputs for model estimation |
| Gen_Forecast_Yields | Compute the bond yield forecast for any model type |
| Get_a0 | Obtain the country-specific a0 |
| Get_As | Compute the A loadings |
| GetAuxPara | Compute the auxiliary parameters a. |
| Get_BFull | Compute the B matrix of loadings |
| Get__BnXAnX | Compute the cross-section loadings of yields of a canonical... |
| Get_Bs | Build the B loadings |
| Getdt | Get delta t |
| Get_FeedMat_NoBC | Estimate feedback matrix from several models (No... |
| 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 long-run risk neutral mean (r0) for the various... |
| Get_Sigma_JLL | Compute Sigmas/Cholesky factorizations |
| Get_SigmaYields | Compute the variance-covariance matrix of the bond yields |
| Get_SSZ_BC | Compute the variance-covariance matrix after the bias... |
| GetTruePara | Map auxiliary (unconstrained) parameters a to constrained... |
| Get_Unspanned | Collect both the domestic and global unspanned factors of all... |
| GetYields_AllCountries | Gather all country-specific yields in a single matrix of... |
| GlobalMacro | Data: Risk Factors - Candelon and Moura (2024, JFEC) |
| GlobalMacro_covid | Data: Risk Factors - Candelon and Moura (2023, EM) |
| GraphicalOutputs | Generate the graphical outputs for the selected models (Point... |
| GVAR | Estimates a GVAR(1) and VARX(1,1,1) models |
| GVARFactors | Data: Risk Factors for the GVAR - Candelon and Moura (2024,... |
| 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... |
| InpForOutEx | Example of list inputs used in the construction of several... |
| InputsForOpt | Generates inputs necessary to build the likelihood function... |
| InputsForOutputs | Collects the inputs that are used to construct the numerical... |
| Intra_Yields | Fit the cross-section of yields using spline |
| InvMat_Robust | Robust method for matrix inversion |
| 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") |
| Jac_approx | Main Jacobian approximation |
| JLL | Estimates the P-dynamics from JLL-based models |
| Jordan_JLL | Check for JLL models for Jordan restrictions (auxiliary form) |
| JordanMat | Convert a Matrix to Jordan-Like Form for Term Structure... |
| 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 for risk factors used in the model |
| llk_JLL_Sigma | Build the log-likelihood function of the P-dynamics from the... |
| LoadData | Loads data sets from several papers |
| Load_Excel_Data | Read data from Excel files and return a named list of data... |
| MarginalModelPara | Estimate the marginal model for the global factors |
| MatAdjusted | Adjust vector of maturities |
| Maturities | Create a vector of numerical maturities in years |
| MergeFEVD_graphs | Limit the number of categories in FEVDs and GFEVDs graphs by... |
| MLEdensity | Compute the maximum likelihood function of all models |
| MLFunction | Set up the vector-valued objective function (Point estimate) |
| ML_stable | Prevents algorithm to end up in ill-defined likelihood |
| MLtemporary | Mean of the llk function used in the estimation of the... |
| MultiATSM | ATSM Package |
| MultiATSM_datasets | Overview of Datasets Included in the MultiATSM Package |
| NoOrthoVAR_JLL | Obtain the non-orthogonalized model parameters |
| NumOutEx | Example of computed numerical outputs |
| 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 | Perform the minimization of ML function |
| 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_Example | Complete list of several outputs from an ATSM |
| OutputConstruction | Numerical outputs (variance explained, model fit, IRFs,... |
| Outputs2exportMLE | Prepares inputs to export |
| ParaLabelsOpt | Create the variable labels used in the estimation |
| ParaSetEx | Example of parameter set after optimization |
| 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 |
| pos_map | Exponential transformation |
| print.ATSMModelInputs | Print method for ATSMModelInputs objects |
| Reg_demean | Perform a linear regression using demeaned variables |
| 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 |
| richardson_diff | Richardson extrapolation |
| RiskFacFull | Data: Full set of risk factors - Candelon and Moura (2024,... |
| 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 |
| RootEigen | Compute the root of the eigenvalue of K1h |
| Rotate_Lat_Obs | Rotate latent states to observed ones |
| SA_algorithm | Stochastic approximation algorithm |
| safe_solve | Safe matrix inversion with conditioning check |
| scaling_from_jacobian | Scaling vector computation |
| shrink_FeedMat_BC | Shrinking the largest eigenvalue |
| Spanned_Factors | Computes the country-specific spanned factors |
| SpecificMLEInputs | Concatenate the model-specific inputs in a list |
| 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) |
| TradeFlows_covid | Data: Trade Flows - Candelon and Moura (2023, EM) |
| Transition_Matrix | Computes the transition matrix required in the estimation of... |
| True_BlockDiag | Transformation of the block diagonal parameters (true form) |
| True_JLLstruct | Transformation of the JLL-related parameters (true form) |
| True_Jordan | Transformation of the Jordan-related parameters (True form) |
| True_jordan_OneCountry | True function for a single-country specification |
| True_PSD | Transformation of a PSD matrix (true form) |
| Update_ParaList | Update parameters in the optimization process |
| 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) |
| withDefault | Check default value |
| 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: bond yield data - Candelon and Moura (2024, JFEC) |
| Yields_covid | Data: Yields - Candelon and Moura (2023) |
| 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) |
