shrink_Phi: Killan's VAR stationarity adjustment
In MultiATSM: Multicountry Term Structure of Interest Rates Models

shrink_Phi

R Documentation

Killan's VAR stationarity adjustment

Description

Killan's VAR stationarity adjustment

Usage

shrink_Phi(Phi_tilde, Phi_hat, ev_restr)

Arguments

`Phi_tilde`	VAR (1) bias-corrected feedback matrix from Bauer, Rudebusch and, Wu (2012)
`Phi_hat`	unrestricted VAR(1) feedback matrix
`ev_restr`	maximum eigenvalue desired in the feedback matrix after the adjustement

Value

stationary VAR(1)

References

Bauer, Rudebusch and, Wu (2012). "Correcting Estimation Bias in Dynamic Term Structure Models".
This function is an adapted version of the"shrink_Phi" Matlab function available at Cynthia Wu's website (https://sites.google.com/view/jingcynthiawu/).

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