OptOutputs function

Prepare outputs to export after the model optimization

OptOutputs(
  Y,
  Z,
  mat,
  N,
  dt,
  Wpca,
  K1XQ,
  SSZ,
  LoadAs,
  LoadBs,
  r0,
  se,
  K0Z,
  K1Z,
  Gy.0,
  VarYields,
  y,
  GVARinputs,
  JLLinputs,
  Economies,
  ModelType,
  BS_out = FALSE
)

Arguments

• Y: matrix of yields used in estimation (J x T or CJ x T)
• Z: complete set of spanned and unspanned factors (F x T)
• mat: vector of maturities (in years) of yields used in estimation (J x 1)
• N: number of country-specific spanned factors
• dt: time interval unit of the model (scalar)
• Wpca: matrix of weights of the portfolios observed without errors (N x J or CN x J)
• K1XQ: risk-neutral feedback matrix (N x N or CN x CN)
• SSZ: variance-covariance matrix (F x F)
• LoadAs: list containing the A loadings
• LoadBs: list containing the B loadings
• r0: long-run interest rate (scalar or vector with length C)
• se: Variance of the portfolio of yields observed with error (scalar).
• K0Z: intercept from the P-dynamics (F x 1)
• K1Z: feedback matrix from the P-dynamics (F x F)
• Gy.0: matrix of contemporaneous terms from the P-dynamics (F x F)
• VarYields: variance-covariance matrix of the bond yields
• y: likelihood of each time series (Tx1)
• GVARinputs: List of inputs from GVAR models
• JLLinputs: List of inputs from JLL models
• Economies: string containing the names of the economy to be estimated
• ModelType: string-vector containing the label of the model to be estimated
• BS_out: Bootstrap output. Default is FALSE.