GetPdynPara_BC: Compute P-dynamics parameters using the bias correction...

In MultiATSM: Multicountry Term Structure of Interest Rates Models

Compute P-dynamics parameters using the bias correction method from BRW (2012)

Description

Compute P-dynamics parameters using the bias correction method from BRW (2012)

Usage

GetPdynPara_BC(
  ModelType,
  BRWinputs,
  RiskFactors,
  Economies,
  FactorLabels,
  GVARinputs,
  JLLinputs
)

Arguments

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)
RiskFactors	time series of risk factors (F x T). Could be stored in a list depending on the model
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 variables present in the model
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)

MultiATSM documentation built on June 8, 2025, 1:59 p.m.