Gen_Forecast_Yields: Compute the bond yield forecast for any model type

In MultiATSM: Multicountry Term Structure of Interest Rates Models

Compute the bond yield forecast for any model type

Description

Compute the bond yield forecast for any model type

Usage

Gen_Forecast_Yields(
  K0Z,
  K1Z,
  A,
  Bfull,
  ZZsubsample,
  C,
  J,
  YieldsLabels,
  ForLabels,
  ForHoriz,
  ModelType
)

Arguments

K0Z	Intercept from the P-dynamics (F x 1)
K1Z	Feedback matrix from the P-dynamics (F x F)
A	Intercept of model-implied yields model (J x 1)
Bfull	Slope of model-implied yields model (J x N or CJ x CN)
ZZsubsample	Sub-sample of risk factors (F x t)
C	Number of countries in the economic cohort (scalar)
J	Number of country-specific bond yields
YieldsLabels	Labels of bond yields
ForLabels	Forecast labels (string-based vector)
ForHoriz	Forecast horizon (scalar)
ModelType	A string-vector containing the label of the model to be estimated

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