GetTruePara: Map auxiliary (unconstrained) parameters a to constrained...

In MultiATSM: Multicountry Term Structure of Interest Rates Models

Map auxiliary (unconstrained) parameters a to constrained parameters b

Description

Map auxiliary (unconstrained) parameters a to constrained parameters b

Usage

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

Arguments

ParaValue	unconstrained auxiliary parameter
Const_Type_Full	One of the following options: 'Jordan' 'Jordan; stationary' 'Jordan MultiCountry' 'Jordan MultiCountry; stationary' 'psd'; 'BlockDiag' 'bounded' 'diag' 'JLLstructure'
lb	lower bounds of b (if option 'bounded' is chosen)
ub	upper bounds of b (if option 'bounded' is chosen)
FactorLabels	string-list based which contains the labels of all the variables present in the model
Economies	string-vector containing the names of the economies which are part of the economic system
JLLinputs	Inputs used in the estimation of the JLL-based models
GVARinputs	Inputs used in the estimation of the GVAR-based models

References

This function is a modified and extended of the "aux2true" 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.