MLEdensity: Compute the maximum likelihood function of all models

In MultiATSM: Multicountry Term Structure of Interest Rates Models

Compute the maximum likelihood function of all models

Description

Compute the maximum likelihood function of all models

Usage

MLEdensity(
  K1XQ,
  r0,
  SSZ,
  K0Z,
  K1Z,
  se,
  Gy.0,
  mat,
  Y,
  Z,
  P,
  Wpca,
  We,
  WpcaFull,
  dt,
  Economies,
  FactorLabels,
  ModelType,
  GVARinputs = NULL,
  JLLinputs = NULL,
  BS_outputs = FALSE,
  nargout
)

Arguments

K1XQ	risk-neutral feedback matrix (N x N or CN x CN)
r0	long-run interest rate (scalar or vector with length C)
SSZ	variance-covariance matrix (F x F)
K0Z	intercept from the P-dynamics (F x 1)
K1Z	feedback matrix from the P-dynamics (F x F)
se	Variance of the portfolio of yields observed with error (scalar). Default is set to NULL.
Gy.0	matrix of contemporaneous terms from the P-dynamics (F x F)
mat	vector of maturities (in years) of yields used in estimation (J x 1)
Y	matrix of yields used in estimation (J x T or CJ x T)
Z	complete set of spanned and unspanned factors (F x T)
P	complete set of spanned factors (N x T or CN x T)
Wpca	matrix of weights of the portfolios observed without errors (N x J or CN x J)
We	matrix of weights of the portfolios observed with errors ((J-N) x J or C(J-N) x CJ)
WpcaFull	composite matrix of weights the portfolios observed with and without errors
dt	time interval unit of the model (scalar). For instance, if data is (i) monthly, dt <- 12; (ii) quarterly, dt <- 4; (iii) yearly, dt <- 1.
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
ModelType	string-vector containing the label of the model to be estimated
GVARinputs	if the model chosen is the "GVAR single" or "GVAR multi", the "GVARinputs" should be specified (see "GVAR" function)
JLLinputs	if the model chosen is JLL-based. "JLLinputs" should contain (i) DomUnit, (ii) WishSigmas, (iii) SigmaNonOrtho, (iv) JLLModelType (See JLL function)
BS_outputs	Generates simplified output list in the bootstrap setting. Default is set to FALSE.
nargout	if nargout == 1: provides only the values of the likelihood; if nargout == 2: complete ATSM outputs

References

This function is modified version of the "A0N_MLEdensity_WOE" 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.