Functionf_vectorized: Use function f to generate the outputs from a ATSM

In MultiATSM: Multicountry Term Structure of Interest Rates Models

Use function f to generate the outputs from a ATSM

Description

Use function f to generate the outputs from a ATSM

Usage

Functionf_vectorized(
  x,
  sizex,
  f,
  con,
  ListInputSet,
  ModelType,
  FactorLabels,
  Economies,
  JLLinputs,
  GVARinputs,
  WithEstimation
)

Arguments

x	vector containing all the vectorized auxiliary parameters
sizex	matrix (6x2) containing the size information of all parameters
f	vector-valued objective function (function)
con	if con = 'concentration', then set the value of the parameter whose name contains @ to empty
ListInputSet	variable inputs used in the optimization (see inputs from "optimization" function)
ModelType	string-vector containing the label of the model to be estimated
FactorLabels	string-list based which contains 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
JLLinputs	Set of necessary inputs used in the estimation of the JLL-based models (see "JLL" function)
GVARinputs	Set of necessary inputs used in the estimation of the GVAR-based models (see "GVAR" function)
WithEstimation	if TRUE, returns only the values of the likelihood function, else generates the entire set of outputs

References

This function is modified version of the "f_with_vectorized_parameters" 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.