GetAuxPara: Map constrained parameters b to unconstrained auxiliary...

In MultiATSM: Multicountry Term Structure of Interest Rates Models

Map constrained parameters b to unconstrained auxiliary parameters a.

Description

Map constrained parameters b to unconstrained auxiliary parameters a.

Usage

GetAuxPara(
  ParaValue,
  Const_Type_Full,
  lb,
  ub,
  Economies,
  FactorLabels,
  JLLinputs = NULL
)

Arguments

ParaValue	Constrained parameter
Const_Type_Full	character-based vector that describes the constraints. Constraints are: 'Jordan'; 'Jordan; stationary' 'Jordan MultiCountry' 'Jordan MultiCountry; stationary' 'stationary' 'psd' 'BlockDiag' 'bounded' 'diag' 'JLLstructure'
lb	lower bounds (a scalar or a matrix) of ParaValue (for the bounded case).
ub	upper bounds (a scalar or a matrix) of ParaValue (for the bounded case).
Economies	string-vector containing the names of the economies which are part of the economic system
FactorLabels	string-list based which contains the labels of all the variables present in the model
JLLinputs	list of necessary inputs for the estimation of JLL-based models (see "JLL" function)

Value

unconstrained auxiliary matrix.

References

This function is a modified and extended version of the "true2aux" 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.