ForecastYields {MultiATSM} | R Documentation |
Generates forecasts of bond yields for all model types
Description
Generates forecasts of bond yields for all model types
Usage
ForecastYields(
ModelType,
ModelPara,
InputsForOutputs,
FactorLabels,
Economies,
JLLlist = NULL,
GVARlist = NULL,
WishBRW,
BRWlist = NULL
)
Arguments
ModelType |
A character vector indicating the model type to be estimated. |
ModelPara |
A list containing the point estimates of the model parameters. For details, refer to the outputs from the |
InputsForOutputs |
A list containing the necessary inputs for generating IRFs, GIRFs, FEVDs, GFEVDs and Term Premia. |
FactorLabels |
A list of character vectors with labels for all variables in the model. |
Economies |
A character vector containing the names of the economies included in the system. |
JLLlist |
A list of necessary inputs for the estimation of JLL-based models (see the |
GVARlist |
A list containing the necessary inputs for the estimation of GVAR-based models (see the |
WishBRW |
Whether to estimate the physical parameter model with bias correction, based on the method by Bauer, Rudebusch and Wu (2012) (see |
BRWlist |
List of necessary inputs for performing the bias-corrected estimation (see |
Value
An object of class 'ATSMModelForecast' containing the following elements:
Out-of-sample forecasts of bond yields per forecast horizon
Out-of-sample forecast errors of bond yields per forecast horizon
Root mean square errors per forecast horizon
Available Methods
- 'plot(object)'
Examples
# See an example of implementation in the vignette file of this package (Section 4).