# Multicountry Term Structure of Interest Rates Models

## Documentation for package ‘MultiATSM’ version 0.3.6

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

## Help Pages

MultiATSM-package | ATSM Package
Bias_Correc_VAR | Estimate 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 | Prepare the GVARFactors database
DataForEstimation | Retrieve data from Excel and build the database used in the model estimation
FactorsGVAR | Data: Risk Factors for the GVAR - Candelon and Moura (forthcoming, JFEC)
ForecastYields | Gather bond yields forecasts for all the model types
Functionf | Set up the vector-valued objective function (Point estimate)
GVAR | Estimate a GVAR(1) and a VARX(1,1,1)
GVARFactors | Data: Risk Factors for the GVAR - Candelon and Moura (2023)
InputsForMLEdensity | Generates several inputs that are necessary to build the likelihood function
InputsForOutputs | Collect the inputs that are used to construct the numerical and the graphical outputs
JLL | Set of inputs present at JLL's P-dynamics
K1XQStationary | Impose stationarity under the Q-measure
LabFac | Generates the labels factors
ListModelInputs | Concatenate the model-specific inputs in a list
Maturities | Create a vector of numerical maturities in years
ModelPara | Replications of the JPS (2014) outputs by the MultiATSM package
MultiATSM | ATSM Package
NumOutputs | Construct the model numerical outputs (model fit, IRFs, GIRFs, FEVDs, GFEVDs, and risk premia decomposition)
Optimization | Peform the minimization of mean(f)
ParaLabels | Create the variable labels used in the estimation
pca_weights_one_country | Weigth matrix from principal components (matrix of eigenvectors)
Reg_K1Q | Estimate the risk-neutral feedbak matrix K1Q using linear regressions
RiskFactors | Data: Risk Factors - Candelon and Moura (forthcoming, JFEC)
RMSEsep | Compute the root mean square error ("sep Q" models)
Spanned_Factors | Compute the country-specific spanned factors
StarFactors | Generates the star variables necessary for the GVAR estimation
TradeFlows | Data: Trade Flows - Candelon and Moura (forthcoming, JFEC)
Trade_Flows | Data: Trade Flows - Candelon and Moura (2023)
Transition_Matrix | Compute the transition matrix required in the estimation of the GVAR model
VAR | Estimates a VAR(1)
Yields | Data: Yields - Candelon and Moura (forthcoming, JFEC)