Bootstrap: Generates the bootstrap-related outputs

In MultiATSM: Multicountry Term Structure of Interest Rates Models

Generates the bootstrap-related outputs

Description

Generates the bootstrap-related outputs

Usage

Bootstrap(
  ModelType,
  ModelParaPE,
  NumOutPE,
  Economies,
  InputsForOutputs,
  FactorLabels,
  JLLlist = NULL,
  GVARlist = NULL,
  WishBC = 0,
  BRWlist = NULL
)

Arguments

ModelType	A character vector indicating the model type to be estimated.
ModelParaPE	A list containing the point estimates of the model parameters. For details, refer to the outputs from the Optimization function.
NumOutPE	The point estimate derived from numerical outputs. See the outputs from the NumOutputs function for further information.
Economies	A character vector containing the names of the economies included in the system.
InputsForOutputs	A list containing the necessary inputs for generating IRFs, GIRFs, FEVDs, GFEVDs and Term Premia.
FactorLabels	A list of character vectors with labels for all variables in the model.
JLLlist	List. Inputs for JLL model estimation (see JLL function). Default is NULL.
GVARlist	List. Inputs for GVAR model estimation (see GVAR function). Default is NULL.
WishBC	Whether to estimate the physical parameter model with bias correction, based on the method by Bauer, Rudebusch and Wu (2012) (see Bias_Correc_VAR function). Default is set to 0.
BRWlist	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 each draw

• List of numerical outputs (IRFs, GIRFs, FEVDs, GFEVDs and Term Premia) for each draw

• Confidence bounds 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 an example of implementation in the vignette file of this package (Section 4).

MultiATSM documentation built on April 4, 2025, 1:40 a.m.