Reg_K1Q: Estimate the risk-neutral feedbak matrix K1Q using linear...

In MultiATSM: Multicountry Term Structure of Interest Rates Models

Estimate the risk-neutral feedbak matrix K1Q using linear regressions

Description

Estimate the risk-neutral feedbak matrix K1Q using linear regressions

Usage

Reg_K1Q(Y, mat, Z, dt, type)

Arguments

Y	matrix of yields used in estimation (J x T)
mat	vector of maturities (in years) of yields used in estimation (J x 1)
Z	pricing factors (can be yields-based or non-yields/macro variables) (N x T)
dt	time unit of the model (scalar). For instance, if data is (i) monthly, dt <- 12; (ii) quarterly, dt <- 4; (iii) yearly, dt <- 1.
type	'Jordan' -> K1Q will be of the Jordan type

Value

Risk neutral feedback matrix K1Q.

References

This function is modified version of the "Reg_K1Q" 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

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