ForecastYields function

Generates forecasts of bond yields for all model types

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 Optimization function.
• 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 JLL function).
• GVARlist: A list containing the necessary inputs for the estimation of GVAR-based models (see the GVAR function).
• WishBRW: Whether to estimate the physical parameter model with bias correction, based on the method by Bauer, Rudebusch and Wu (2012) (see Bias_Correc_VAR function). Default is set to 0.
• BRWlist: List of necessary inputs for performing the bias-corrected estimation (see Bias_Correc_VAR function).

Returns

An object of class 'ATSMModelForecast' containing the following elements:

1. Out-of-sample forecasts of bond yields per forecast horizon
2. Out-of-sample forecast errors of bond yields per forecast horizon
3. 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).