GetPdynPara: Compute the parameters used in the P-dynamics of the model

In MultiATSM: Multicountry Term Structure of Interest Rates Models

Compute the parameters used in the P-dynamics of the model

Description

Compute the parameters used in the P-dynamics of the model

Usage

GetPdynPara(
  RiskFactors,
  FactorLabels,
  Economies,
  ModelType,
  BRWinputs,
  GVARinputs,
  JLLinputs,
  CheckInputs = F
)

Arguments

RiskFactors	time series of risk factors (F x T). Could be stored in a list depending on the model
FactorLabels	string-list based which contains the labels of all variables present in the model
Economies	string-vector containing the names of the economies which are part of the economic system
ModelType	string-vector containing the label of the model to be estimated
BRWinputs	list of necessary inputs for performing the bias-corrected estimation (see "Bias_Correc_VAR" function)
GVARinputs	list of necessary inputs for the estimation of GVAR-based models (see "GVAR" function)
JLLinputs	list of necessary inputs for the estimation of JLL-based models (see "JLL" function)
CheckInputs	Logical. Whether to perform a prior check on the consistency of the provided input list. Default is FALSE.

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