OOS_Forecast function

Perform out-of-sample forecast of bond yields

OOS_Forecast(
  ForHoriz,
  t_Last,
  ModelParaList,
  FactorLabels,
  Yields_FullSample,
  Economies,
  ModelType
)

Arguments

• ForHoriz: Forecast horizon-ahead (scalar)
• t_Last: Index of the last set of observations in the information set at a given forecasting round
• ModelParaList: List of model parameter estimates
• FactorLabels: A string-list based which contains all the labels of all the variables present in the model
• Yields_FullSample: Time-series of bond yields, complete set (J x T or CJ x T)
• Economies: String-vector containing the names of the economies which are part of the economic system
• ModelType: A string-vector containing the label of the model to be estimated