Optimization {MultiATSM}R Documentation

Perform the optimization of the log-likelihood function of the chosen ATSM

Description

Perform the optimization of the log-likelihood function of the chosen ATSM

Usage

Optimization(
  MLEinputs,
  StatQ,
  DataFreq,
  FactorLabels,
  Economies,
  ModelType,
  tol = 1e-04,
  TimeCount = TRUE,
  BS_outputs = FALSE
)

Arguments

MLEinputs

A list containing the necessary inputs for building the log-likelihood function (see InputsForOpt function).

StatQ

A binary variable (1 or 0) indicating whether to impose that the largest eigenvalue under Q is strictly smaller than 1. Set to 1 to impose the restriction, or 0 otherwise.

DataFreq

A character vector specifying the data frequency. Available options: "Daily All Days", "Daily Business Days", "Weekly", "Monthly", "Quarterly", "Annually".

FactorLabels

A list of character vectors with labels for all variables in the model.

Economies

A character vector containing the names of the economies included in the system.

ModelType

A character vector indicating the model type to be estimated.

tol

Convergence tolerance (scalar). The default is 1e-4.

TimeCount

Logical. If TRUE, computes the time required for model estimation. Default is TRUE.

BS_outputs

Logical. If TRUE, generates a simplified output list in the bootstrap setting. Default is FALSE.

Value

An extensive list containing model outputs after the optimization of the chosen ATSM specification.

References

This function is partially adapted from the LS__opt 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

Examples

# See examples in the vignette file of this package (Section 4).


[Package MultiATSM version 1.1.0 Index]