GetPdynPara_NoBC: Compute P-dynamics parameters without using the bias...

In MultiATSM: Multicountry Term Structure of Interest Rates Models

Compute P-dynamics parameters without using the bias correction method from BRW (2012)

Description

Compute P-dynamics parameters without using the bias correction method from BRW (2012)

Usage

GetPdynPara_NoBC(
  ModelType,
  RiskFactors,
  Economies,
  N,
  GVARinputs,
  JLLinputs,
  CheckInpts = F
)

Arguments

ModelType	string-vector containing the label of the model to be estimated
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
N	number of country-specific spanned factors
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 April 4, 2025, 1:40 a.m.