Functionf_vectorized function

Use function f to generate the outputs from a ATSM

Functionf_vectorized(
  x,
  sizex,
  f,
  con,
  ListInputSet,
  ModelType,
  FactorLabels,
  Economies,
  JLLinputs,
  GVARinputs,
  WithEstimation
)

Arguments

• x: vector containing all the vectorized auxiliary parameters
• sizex: matrix (6x2) containing the size information of all parameters
• f: vector-valued objective function (function)
• con: if con = 'concentration', then set the value of the parameter whose name contains @ to empty
• ListInputSet: variable inputs used in the optimization (see inputs from "optimization" function)
• ModelType: string-vector containing the label of the model to be estimated
• FactorLabels: string-list based which contains the labels of all the variables present in the model
• Economies: string-vector containing the names of the economies which are part of the economic system
• JLLinputs: Set of necessary inputs used in the estimation of the JLL-based models (see "JLL" function)
• GVARinputs: Set of necessary inputs used in the estimation of the GVAR-based models (see "GVAR" function)
• WithEstimation: if TRUE, returns only the values of the likelihood function, else generates the entire set of outputs

References

This function is modified version of the "f_with_vectorized_parameters" function by Le and Singleton (2018).

"A Small Package of Matlab Routines for the Estimation of Some Term Structure Models."

(Euro Area Business Cycle Network Training School - Term Structure Modelling). Available at: https://cepr.org/40029