OOS_Forecast: Perform out-of-sample forecast of bond yields

In MultiATSM: Multicountry Term Structure of Interest Rates Models

Perform out-of-sample forecast of bond yields

Description

Perform out-of-sample forecast of bond yields

Usage

OOS_Forecast(
  ForHoriz,
  t_Last,
  ModelParaList,
  FactorLabels,
  Yields_FullSample,
  Economies,
  ModelType
)

Arguments

ForHoriz	Forecast horizon-ahead (scalar)
t_Last	Index of the last set of observations in the information set at a given forecasting round
ModelParaList	List of model parameter estimates
FactorLabels	A string-list based which contains all the labels of all the variables present in the model
Yields_FullSample	Time-series of bond yields, complete set (J x T or CJ x T)
Economies	String-vector containing the names of the economies which are part of the economic system
ModelType	A string-vector containing the label of the model to be estimated

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