FeedMat_Q: Get an estimate for the risk-neutral (Q) feedback matrix
In MultiATSM: Multicountry Term Structure of Interest Rates Models

FeedMat_Q

R Documentation

Get an estimate for the risk-neutral (Q) feedback matrix

Description

Get an estimate for the risk-neutral (Q) feedback matrix

Usage

FeedMat_Q(
  Yields,
  Spa_Fac,
  Economies,
  UnitYields,
  time_step,
  check_inputs = TRUE
)

Arguments

`Yields`	matrix of bond yields (J x T)
`Spa_Fac`	matrix of spanned factors (N x T)
`Economies`	string-vector containing the names of the economies which are part of the economic system
`UnitYields`	(i) "Month": if maturity of yields are expressed in months or (ii) "Year": if maturity of yields are expressed in years
`time_step`	time unit of the model (scalar). For instance, if data is (i) monthly, dt <- 12; (ii) quarterly, dt <- 4; (iii) yearly, dt <- 1.
`check_inputs`	Perform input validation. Default is TRUE.

References

Le, A., & Singleton, K. J. (2018). Small Package of Matlab Routines for Estimation of Some Term Structure Models. EABCN Training School.
This function offers an independent R implementation that is informed by the conceptual framework outlined in Le and Singleton (2018), but adapted to the present modeling context.

MultiATSM documentation built on Nov. 5, 2025, 7:01 p.m.