Check_comparison__OLS: check whether mean/median of OLS is close to actual OLS...

In MultiATSM: Multicountry Term Structure of Interest Rates Models

check whether mean/median of OLS is close to actual OLS estimates

Description

check whether mean/median of OLS is close to actual OLS estimates

Usage

Check_comparison__OLS(
  theta_tilde,
  theta_OLS,
  B_check,
  RiskFactors,
  N,
  GVARinputs,
  JLLinputs,
  FactorLabels,
  Economies,
  ModelType
)

Arguments

theta_tilde	feedback matrix after the bias correction procedure
theta_OLS	feedback matrix obtained by OLS estimation (without bias correction)
B_check	number of bootstrap samples used in the closeness check
RiskFactors	time series of the risk factors (F x T)
N	number of country-specific spanned factors (scalar)
GVARinputs	inputs used in the estimation of the GVAR-based models (see "GVAR" function). Default is set to NULL
JLLinputs	inputs used in the estimation of the JLL-based models (see "JLL" function). Default is set to NULL
FactorLabels	string-list based which contains the labels of all variables present in the model
Economies	string-vector containing the names of the economies which are part of the economic system
ModelType	string-vector containing the label of the model to be estimated

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