Multicountry Term Structure of Interest Rates Models

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Documentation for package ‘MultiATSM’ version 1.0.0

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MultiATSM-package ATSM Package
Bias_Correc_VAR Estimates an unbiased VAR(1) using stochastic approximation (Bauer, Rudebusch and Wu, 2012)
Bootstrap Generates the bootstrap-related outputs
BR_jps_out Replications of the JPS (2014) outputs by Bauer and Rudebusch (2017)
DatabasePrep Gather data of several countries in a list. Particularly useful for GVAR-based setups (Compute "GVARFactors")
DataForEstimation Retrieves data from Excel and build the database used in the model estimation
DomesticMacroVar Data: Risk Factors - Candelon and Moura (forthcoming, JFEC)
DomMacro Data: Risk Factors for the GVAR - Candelon and Moura (2023)
FactorsGVAR Data: Risk Factors for the GVAR - Candelon and Moura (forthcoming, JFEC)
ForecastYields Generates forecasts of bond yields for all model types
GlobalMacro Data: Risk Factors - Candelon and Moura (2023)
GlobalMacroVar Data: Risk Factors - Candelon and Moura (forthcoming, JFEC)
GVAR Estimates a GVAR(1) and a VARX(1,1,1) models
InputsForOpt Generates several inputs that are necessary to build the likelihood function
InputsForOutputs Collects the inputs that are used to construct the numerical and the graphical outputs
JLL Estimates the P-dynamics from JLL-based models
LabFac Generates the labels factors
LoadData Loads data sets from several papers
ModelPara Replications of the JPS (2014) outputs by the MultiATSM package
MultiATSM ATSM Package
NumOutputs Constructs the model numerical outputs (model fit, IRFs, GIRFs, FEVDs, GFEVDs, and risk premia decomposition)
Optimization Perform the optimization of the log-likelihood function of the chosen ATSM
pca_weights_one_country Weight matrix from principal components
RiskFactors Data: Risk Factors - Candelon and Moura (forthcoming, JFEC)
Spanned_Factors Computes the country-specific spanned factors
StarFactors Generates the star variables necessary for the GVAR estimation
TradeFlows Data: Trade Flows - Candelon and Moura (forthcoming, JFEC)
Trade_Flows Data: Trade Flows - Candelon and Moura (2023)
Transition_Matrix Computes the transition matrix required in the estimation of the GVAR model
VAR Estimates a standard VAR(1)
Yields Data: Yields - Candelon and Moura (forthcoming, JFEC)