GeneralMLEInputs function

Gathers the general inputs for model estimation

GeneralMLEInputs(
  Yields,
  RiskFactors,
  FactorLabels,
  mat,
  DataFrequency,
  Label_Multi_Models,
  Economies,
  ModelType
)

Arguments

• Yields: matrix (CJ x T) or a list containing those matrices, where C is the number of countries, J - the number of maturities and T - time series length

• RiskFactors: time series of risk factors (F x T). Could be stored in a list depending on the model

• FactorLabels: string-list based which contains the labels of all variables present in the model

• mat: vector of maturities (in years) used in the estimation

• DataFrequency: single element character-based vector. Available options are: "Daily All Days",

  "Daily Business Days", "Weekly", "Monthly", "Quarterly", "Annually"

• Label_Multi_Models: string-vector containing the names of the multicountry setups

• Economies: string-vector containing the names of the economies which are part of the economic system

• ModelType: string-vector containing the label of the model to be estimated