ComputeIRFs: Compute IRFs of all models

In MultiATSM: Multicountry Term Structure of Interest Rates Models

Compute IRFs of all models

Description

Compute IRFs of all models

Usage

ComputeIRFs(
  SIGMA,
  K1Z,
  BLoad,
  FactorLabels,
  FacDim,
  MatLength,
  IRFhoriz,
  YieldsLabel,
  ModelType,
  Economy = NULL,
  PI = NULL,
  Mode = FALSE
)

Arguments

SIGMA	Variance-covariance matrix
K1Z	Loading As
BLoad	Loading Bs
FactorLabels	List containing the label of factors
FacDim	Dimension of the P-dynamics
MatLength	Length of the maturity vector
IRFhoriz	Horizon of the analysis
YieldsLabel	Label of bond yields
ModelType	Desired model type
Economy	specific economy under study
PI	matrix PI for JLL-based models
Mode	allows for the orthogonalized version in the case of JLL-based models

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