Package index

Dataset

Datasets included in the package

CM_GlobalMacroFactors: Data: Risk Factors - Candelon and Moura (2024, JFEC)

CM_GlobalMacro_2023: Data: Risk Factors - Candelon and Moura (2023)

CM_DomMacroFactors: Data: Risk Factors - Candelon and Moura (2024, JFEC)

CM_DomMacro_2023: Data: Risk Factors for the GVAR - Candelon and Moura (2023)

CM_Trade: Data: Trade Flows - Candelon and Moura (2024, JFEC)

CM_Trade_2023: Data: Trade Flows - Candelon and Moura (2023)

CM_Yields CM_Yields_2023: Data: Yields - Candelon and Moura (2024, JFEC)

CM_Factors: Data: Risk Factors - Candelon and Moura (2024, JFEC)

CM_Factors_GVAR: Data: Risk Factors for the GVAR - Candelon and Moura (2024, JFEC)

Data handling

Functions for handling and transforming data

DataForEstimation(): Retrieves data from Excel and build the database used in the model estimation

DatabasePrep(): Gather data of several countries in a list. Particularly useful for GVAR-based setups (Compute "GVARFactors")

LoadData(): Loads data sets from several papers

Load_Excel_Data(): Read data from Excel files and transform them into a dataframe

InputsForOutputs(): Collects the inputs that are used to construct the numerical and the graphical outputs

LabFac(): Generates the labels factors

Estimation of model P-dynamics

Functions for estimating the parameters from the P-dynamics

Bias_Correc_VAR(): Estimates an unbiased VAR(1) using stochastic approximation (Bauer, Rudebusch and Wu, 2012)

GVAR(): Estimates a GVAR(1) and a VARX(1,1,1) models

JLL(): Estimates the P-dynamics from JLL-based models

Transition_Matrix(): Computes the transition matrix required in the estimation of the GVAR model

VAR(): Estimates a standard VAR(1)

Methods

Available methods for several object classes

autoplot(): Autoplot generic function

autoplot(<ATSMModelBoot>): Autoplot method for ATSMModelBoot objects

autoplot(<ATSMNumOutputs>): Autoplot method for ATSMNumOutputs objects

plot(<ATSMModelForecast>): Plot method for ATSMModelForecast objects

print(<ATSMModelInputs>): Print method for ATSMModelInputs objects

summary(<ATSMModelInputs>): Summary method for ATSMModelInputs objects

summary(<ATSMModelOutputs>): Summary method for ATSMModelOutputs objects

Graphs

Functions to generate graphical outputs

FEVDandGFEVDgraphs(): FEVD and GFEVD graphs for all models

Fitgraphs(): Model fit graphs for all models

IRFandGIRFgraphs(): IRF and GIRF graphs for all models

RiskFactorsGraphs(): Spanned and unspanned factors plot

TPDecompGraph(): Term Premia decomposition graphs for all models

Functions related to the computation of spanned factors

Spanned_Factors(): Computes the country-specific spanned factors

pca_weights_one_country(): Computes the PCA weights for a single country

Model optimization, numerical outputs, bootstrap and forecasting

Bootstrap(): Generates the bootstrap-related outputs

ForecastYields(): Generates forecasts of bond yields for all model types

InputsForOpt(): Generates inputs necessary to build the likelihood function for the ATSM model

Optimization(): Perform the optimization of the log-likelihood function of the chosen ATSM

NumOutputs(): Constructs the model numerical outputs (model fit, IRFs, GIRFs, FEVDs, GFEVDs, and term premia decomposition)

Pre-loaded outputs

Pre computed outputs

BR_jps_gro_R3: Replications of the JPS (2014) outputs by Bauer and Rudebusch (2017)

InpForOutEx: Example of list inputs used in the construction of several model outputs

JPSrep: Replications of the JPS (2014) outputs by the MultiATSM package

ParaSetEx: Example of parameter set after optimization

NumOutEx: Example of computed numerical outputs

Out_Example: Complete list of several outputs from an ATSM

MultiATSM MultiATSM-package: ATSM Package