NumOutputs: Constructs the model numerical outputs (model fit, IRFs,...

In MultiATSM: Multicountry Term Structure of Interest Rates Models

Constructs the model numerical outputs (model fit, IRFs, GIRFs, FEVDs, GFEVDs, and risk premia decomposition)

Description

Constructs the model numerical outputs (model fit, IRFs, GIRFs, FEVDs, GFEVDs, and risk premia decomposition)

Usage

NumOutputs(ModelType, ModelPara, InputsForOutputs, FactorLabels, Economies)

Arguments

ModelType	A character vector indicating the model type to be estimated.
ModelPara	A list containing the point estimates of the model parameters. For details, refer to the outputs from the Optimization function.
InputsForOutputs	A list containing the necessary inputs for generating IRFs, GIRFs, FEVDs, GFEVDs and Term Premia.
FactorLabels	A list of character vectors with labels for all variables in the model.
Economies	A character vector containing the names of the economies included in the system.

Details

Both IRFs and FEVDs are computed using the Cholesky decomposition method. The risk factors are ordered as follows: (i) global unspanned factors, and (ii) domestic unspanned and spanned factors for each country. The order of countries follows the sequence defined in the Economies vector.

Value

List of the model numerical outputs, namely

1. Model fit of bond yields

2. IRFs

3. FEVDs

4. GIRFs

5. GFEVDs

6. Bond yield decomposition

References

Pesaran, H. Hashem, and Shin, Yongcheol. "Generalized impulse response analysis in linear multivariate models." Economics letters 58.1 (1998): 17-29.

Examples

# See an example of implementation in the vignette file of this package (Section 4).

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