R: Multicountry Term Structure of Interest Rates Models

# Multicountry Term Structure of Interest Rates Models

## Documentation for package ‘MultiATSM’ version 1.3.1

- DESCRIPTION file.
- User guides, package vignettes and other documentation.

## Help Pages

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 (2024, JFEC)
DomMacro | Data: Risk Factors for the GVAR - Candelon and Moura (2023)
FactorsGVAR | Data: Risk Factors for the GVAR - Candelon and Moura (2024, 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 (2024, JFEC)
GVAR | Estimates a GVAR(1) and a VARX(1,1,1) models
InputsForOpt | Generates inputs necessary to build the likelihood function for the ATSM model
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
Out | Complete list of several outputs from an ATSM
pca_weights_one_country | Computes the PCA weights for a single country
plot.ATSMModelForecast | Plot method for ATSMModelForecast objects
print.ATSMModelInputs | Print method for ATSMModelInputs objects
RiskFactors | Data: Risk Factors - Candelon and Moura (2024, JFEC)
Spanned_Factors | Computes the country-specific spanned factors
StarFactors | Generates the star variables necessary for the GVAR estimation
summary.ATSMModelInputs | Summary method for ATSMModelInputs objects
summary.ATSMModelOutputs | Summary method for ATSMModelOutputs objects
TradeFlows | Data: Trade Flows - Candelon and Moura (2024, 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 (2024, JFEC)