Gen_Forecast_Yields {MultiATSM} | R Documentation |
compute the bond yield forecast for any model type
Description
compute the bond yield forecast for any model type
Usage
Gen_Forecast_Yields(
K0Z,
K1Z,
A,
Bfull,
ZZsubsample,
C,
J,
YieldsLabels,
ForLabels,
ForHoriz,
ModelType
)
Arguments
K0Z |
Intercept from the P-dynamics (F x 1) |
K1Z |
Feedback matrix from the P-dynamics (F x F) |
A |
Intercept of model-implied yields model (J x 1) |
Bfull |
Slope of model-implied yields model (J x N or CJ x CN) |
ZZsubsample |
Sub-sample of risk factors (F X t) |
C |
Number of countries in the economic cohort (scalar) |
J |
Number of country-specific bond yields |
YieldsLabels |
Labels of bond yields |
ForLabels |
Forecast labels (string-based vector) |
ForHoriz |
forecast horizon (scalar) |
ModelType |
a string-vector containing the label of the model to be estimated |
[Package MultiATSM version 1.1.0 Index]