Optimization: Perform the optimization of the log-likelihood function of...

In MultiATSM: Multicountry Term Structure of Interest Rates Models

Perform the optimization of the log-likelihood function of the chosen ATSM

Description

Perform the optimization of the log-likelihood function of the chosen ATSM

Usage

Optimization(
  MLEinputs,
  StatQ,
  DataFreq,
  FactorLabels,
  Economies,
  ModelType,
  tol = 1e-04,
  TimeCount = TRUE,
  BS_outputs = FALSE
)

Arguments

MLEinputs	A list containing the necessary inputs for building the log-likelihood function (see InputsForOpt function).
StatQ	A binary variable (1 or 0) indicating whether to impose that the largest eigenvalue under Q is strictly smaller than 1. Set to 1 to impose the restriction, or 0 otherwise.
DataFreq	A character vector specifying the data frequency. Available options: "Daily All Days", "Daily Business Days", "Weekly", "Monthly", "Quarterly", "Annually".
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.
ModelType	A character vector indicating the model type to be estimated.
tol	Convergence tolerance (scalar). The default is 1e-4.
TimeCount	Logical. If TRUE, computes the time required for model estimation. Default is TRUE.
BS_outputs	Logical. If TRUE, generates a simplified output list in the bootstrap setting. Default is FALSE.

Value

An object of class 'ATSMModelOutputs' containing model outputs after the optimization of the chosen ATSM specification.

Available Methods

- 'summary(object)'

References

This function is partially adapted from the LS__opt 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

Examples

# See examples in the vignette file of this package (Section 4).

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