Optimization_PE {MultiATSM} | R Documentation |
Peform the minimization of mean(f)
Description
Peform the minimization of mean(f)
Usage
Optimization_PE(
f,
ListInputSet,
FactorLabels,
Economies,
ModelType,
JLLinputs = NULL,
GVARinputs = NULL,
tol = 1e-04,
TimeCount = TRUE
)
Arguments
f |
vector-valued objective function (function) |
ListInputSet |
list contain starting values and constraints: for each input argument K (of f), we need four inputs that look like:
|
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. |
JLLinputs |
List. Inputs for JLL model estimation (see |
GVARinputs |
List. Inputs for GVAR model estimation (see |
tol |
convergence tolerance (scalar). Default value is 1e-4. |
TimeCount |
computes the required time for estimation of the model. Default is TRUE. |
References
This function is a conceptually based on 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 an example of implementation in the vignette file of this package (Section 4).