ResampleResiduals_BS: Compute the residuals from the original model

In MultiATSM: Multicountry Term Structure of Interest Rates Models

Compute the residuals from the original model

Description

Compute the residuals from the original model

Usage

ResampleResiduals_BS(
  residPdynOriginal,
  residYieOriginal,
  InputsForOutputs,
  ModelType,
  nlag = 1
)

Arguments

residPdynOriginal	Time-series of the residuals from the P-dynamics equation (T x F)
residYieOriginal	Time-series of the residuals from the observational equation (T x J or T x CJ)
InputsForOutputs	List containing the desired inputs for the construction of the numerical outputs.
ModelType	A character vector indicating the model type to be estimated
nlag	Number of lags in the P-dynamics. Default is set to 1.

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