FEVDandGFEVD: FEVDs and GFEVDs for all models

In MultiATSM: Multicountry Term Structure of Interest Rates Models

FEVDs and GFEVDs for all models

Description

FEVDs and GFEVDs for all models

Usage

FEVDandGFEVD(ModelType, ModelPara, FEVDhoriz, FactorLabels, Economies)

Arguments

ModelType	string-vector containing the label of the model to be estimated
ModelPara	list of model parameter estimates (see the "Optimization" function)
FEVDhoriz	single numerical vector containing the desired horizon of analysis for the FEVDs and GFEVDs
FactorLabels	string-list based which contains all the labels of all the variables present in the model
Economies	string-vector containing the names of the economies which are part of the economic system

Details

Structural shocks are identified via Cholesky decomposition

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