Optimization_PE: Peform the minimization of mean(f)

In MultiATSM: Multicountry Term Structure of Interest Rates Models

Peform the minimization of mean(f)

Description

Peform the minimization of mean(f)

Usage

Optimization_PE(
  f,
  ListInputSet,
  FactorLabels,
  Economies,
  ModelType,
  JLLinputs = NULL,
  GVARinputs = NULL,
  tol = 1e-04,
  TimeCount = TRUE
)

Arguments

f	vector-valued objective function (function)
ListInputSet	list contain starting values and constraints: for each input argument K (of f), we need four inputs that look like: a starting value: K0 a variable label ('K0') followed by a ':' followed by a type of constraint. The constraint can be: 'bounded': bounded matrix; 'Jordan' or 'Jordan MultiCountry': a matrix of Jordan type; 'psd': psd matrix; 'stationary': largest eigenvalue of the risk-neutral feedback matrix is strictly smaller than 1; 'diag' or 'BlockDiag': a diagonal or block diagonal matrix. 'JLLstructure': to impose the zero-restrictions on the variance-variance matrix along the lines of the JLL models a lower bound lb (lb <- NULL -> no lower bound) an upper bound ub (ub <- NULL -> no upper bound) Specification of the optimization settings: 'iter off': hide the printouts of the numerical optimization routines; 'fminunc only': only uses fminunc for the optimization; ”fminsearch only': only uses fminsearch for the optimization.
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.
JLLinputs	List. Inputs for JLL model estimation (see JLL). Default is NULL.
GVARinputs	List. Inputs for GVAR model estimation (see GVAR). Default is NULL.
tol	convergence tolerance (scalar). Default value is 1e-4.
TimeCount	computes the required time for estimation of the model. Default is TRUE.

References

This function is a conceptually based on 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 an example of implementation in the vignette file of this package (Section 4).

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