FMN__Rotate: Performs state rotations

In MultiATSM: Multicountry Term Structure of Interest Rates Models

Performs state rotations

Description

Performs state rotations

Usage

FMN__Rotate(y0, U1, U0)

Arguments

y0	list of model parameters as described below
U1	matrix (N x N)
U0	vector (N x 1). Optional. Default: vector of zeros.

Details

This function performs a rotation from a model with Z as states to one with S = U0 + U1*Z as states.
Specifically, each model is characterized by the following inputs organized in a list of variables:
(i) K0: intercepts (N x 1);
(ii) K1: feedback matrix (N x N*p);
(iii) SS: volatility matrices (N x N*(M+1))
More specifically, the state Z follows the dynamics:
Z_t = N(K0 + K1 [Z_{t-1}; Z_{t-2}; ...], SSi[ , , 1] + sum_{i=1}^M SSi[ , ,i+1] where SSi <- array(SS, c(N, N, M+1))

Value

y1 - list of outputs after the transformation, the structure parallels that of y0

References

#' This function is modified version of the "FMN__Rotate" function by Le and Singleton (2018).
"A Small Package of Matlab Routines for the Estimation of Some Term Structure Models."
(Euro Area Business Cycle Network Training School - Term Structure Modelling). Available at: https://cepr.org/40029

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