ParaLabelsOpt: Create the variable labels used in the estimation

In MultiATSM: Multicountry Term Structure of Interest Rates Models

Create the variable labels used in the estimation

Description

Create the variable labels used in the estimation

Usage

ParaLabelsOpt(ModelType, WishStationarityQ, MLEinputs, BS_outputs = FALSE)

Arguments

ModelType	a string-vector containing the label of the model to be estimated
WishStationarityQ	User must set "1" is she wishes to impose the largest eigenvalue under the Q to be strictly smaller than 1. Otherwise set "0"
MLEinputs	Set of inputs that are necessary to the log-likelihood function
BS_outputs	Generates simplified output list in the bootstrap setting. Default is set to FALSE.

Value

list containing starting values and constraints: for each input argument K (of f), we need four inputs that look like:

1. a starting value: K0

2. 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-voriance matrix along the lines of the JLL models

3. a lower bound lb (lb <- NULL -> no lower bound)

4. an upper bound ub (ub <- NULL -> no upper bound)

5. 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.

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