Gen_Forecast_Yields function

Compute the bond yield forecast for any model type

Gen_Forecast_Yields(
  K0Z,
  K1Z,
  A,
  Bfull,
  ZZsubsample,
  C,
  J,
  YieldsLabels,
  ForLabels,
  ForHoriz,
  ModelType
)

Arguments

• K0Z: Intercept from the P-dynamics (F x 1)
• K1Z: Feedback matrix from the P-dynamics (F x F)
• A: Intercept of model-implied yields model (J x 1)
• Bfull: Slope of model-implied yields model (J x N or CJ x CN)
• ZZsubsample: Sub-sample of risk factors (F x t)
• C: Number of countries in the economic cohort (scalar)
• J: Number of country-specific bond yields
• YieldsLabels: Labels of bond yields
• ForLabels: Forecast labels (string-based vector)
• ForHoriz: Forecast horizon (scalar)
• ModelType: A string-vector containing the label of the model to be estimated