R: Multicountry Term Structure of Interest Rates Models

# Multicountry Term Structure of Interest Rates Models

## Documentation for package ‘MultiATSM’ version 1.5.1-1

- DESCRIPTION file
- User guides, package vignettes and other documentation
- Package README

## Help Pages

MultiATSM-package | ATSM Package
autoplot | Autoplot generic function
autoplot.ATSMModelBoot | Autoplot method for ATSMModelBoot objects
autoplot.ATSMNumOutputs | Autoplot method for ATSMNumOutputs objects
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 builds the database used in the model estimation
DomMacro | Data: domestic risk factors - Candelon and Moura (2024, JFEC)
DomMacro_covid | Data: Risk Factors for the GVAR - Candelon and Moura (2023)
FEVDandGFEVDgraphs | FEVD and GFEVD graphs for all models
Fitgraphs | Model fit graphs for all models
ForecastYields | Generates forecasts of bond yields for all model types
GlobalMacro | Data: Risk Factors - Candelon and Moura (2024, JFEC)
GlobalMacro_covid | Data: Risk Factors - Candelon and Moura (2023, EM)
GVAR | Estimates a GVAR(1) and VARX(1,1,1) models
GVARFactors | Data: Risk Factors for the GVAR - Candelon and Moura (2024, JFEC)
InpForOutEx | Example of list inputs used in the construction of several model outputs
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 graphical outputs
IRFandGIRFgraphs | IRF and GIRF graphs for all models
JLL | Estimates the P-dynamics from JLL-based models
LabFac | Generates the labels for risk factors used in the model
LoadData | Loads data sets from several papers
Load_Excel_Data | Read data from Excel files and return a named list of data frames
MultiATSM | ATSM Package
MultiATSM_datasets | Overview of Datasets Included in the MultiATSM Package
NumOutEx | Example of computed numerical outputs
NumOutputs | Constructs the model numerical outputs (model fit, IRFs, GIRFs, FEVDs, GFEVDs, and term premia)
Optimization | Perform the optimization of the log-likelihood function of the chosen ATSM
Out_Example | Complete list of several outputs from an ATSM
ParaSetEx | Example of parameter set after optimization
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
RiskFacFull | Data: Full set of risk factors - Candelon and Moura (2024, JFEC)
RiskFactorsGraphs | Spanned and unspanned factors plot
Spanned_Factors | Computes the country-specific spanned factors
summary.ATSMModelInputs | Summary method for ATSMModelInputs objects
summary.ATSMModelOutputs | Summary method for ATSMModelOutputs objects
TPDecompGraph | Term Premia decomposition graphs for all models
TradeFlows | Data: Trade Flows - Candelon and Moura (2024, JFEC)
TradeFlows_covid | Data: Trade Flows - Candelon and Moura (2023, EM)
Transition_Matrix | Computes the transition matrix required in the estimation of the GVAR model
VAR | Estimates a standard VAR(1)
Yields | Data: bond yield data - Candelon and Moura (2024, JFEC)
Yields_covid | Data: Yields - Candelon and Moura (2023)