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Estimates the P-dynamics from JLL-based models

Source: R/JLL.R
JLL.Rd

Estimates the P-dynamics from JLL-based models

Usage

JLL(NonOrthoFactors, N, JLLinputs, CheckInputs = FALSE)

Arguments

NonOrthoFactors

A numeric matrix (F x T) representing the time series of risk factors before the orthogonalization process.

N

Integer. Number of country-specific spanned factors.

JLLinputs

List of necessary inputs to estimate JLL models:

  1. Economies: set of economies that are part of the economic system (string-vector)

  2. DomUnit: A string specifying the name of the economy assigned as the dominant unit.
    If no dominant unit is assigned, set this variable to "None".

  3. WishSigmas: Set to "1" if the user wishes to estimate the variance-covariance matrices and Cholesky factorizations
    (this can take a long time). Set to "0" if not.

  4. SigmaNonOrtho: A NULL value or an F x F matrix from the non-orthogonalized dynamics.

  5. JLLModelType: A string specifying the type of JLL model. Available options are: "JLL original", "JLL joint Sigma", or "JLL No DomUnit".

CheckInputs

A logical flag to indicate whether to perform a prior consistency check on the inputs provided in JLLinputs. The default is set to FALSE

Value

List of model parameters from both the orthogonalized and non-orthogonalized versions of the JLL's based models

References

Jotiskhatira, Le and Lundblad (2015). "Why do interest rates in different currencies co-move?" (Journal of Financial Economics)

Examples

# \donttest{
data(CM_Factors)
RF_TS <- RiskFactors
N <- 3

JLLinputs <- list(Economies = c("China", "Brazil", "Mexico", "Uruguay"), DomUnit = "China",
                  WishSigmas = 1, SigmaNonOrtho = NULL, JLLModelType = "JLL original")

JLLPara <- JLL(RF_TS, N, JLLinputs)
# }