Optimization function

Perform the optimization of the log-likelihood function of the chosen ATSM

Optimization(
  MLEinputs,
  StatQ,
  DataFreq,
  FactorLabels,
  Economies,
  ModelType,
  tol = 1e-04,
  TimeCount = TRUE,
  BS_outputs = FALSE
)

Arguments

• MLEinputs: A list containing the necessary inputs for building the log-likelihood function (see InputsForOpt function).
• StatQ: A binary variable (1 or 0) indicating whether to impose that the largest eigenvalue under Q is strictly smaller than 1. Set to 1 to impose the restriction, or 0 otherwise.
• DataFreq: A character vector specifying the data frequency. Available options: "Daily All Days", "Daily Business Days", "Weekly", "Monthly", "Quarterly", "Annually".
• FactorLabels: A list of character vectors with labels for all variables in the model.
• Economies: A character vector containing the names of the economies included in the system.
• ModelType: A character vector indicating the model type to be estimated.
• tol: Convergence tolerance (scalar). The default is 1e-4.
• TimeCount: Logical. If TRUE, computes the time required for model estimation. Default is TRUE.
• BS_outputs: Logical. If TRUE, generates a simplified output list in the bootstrap setting. Default is FALSE.

Returns

An object of class 'ATSMModelOutputs' containing model outputs after the optimization of the chosen ATSM specification.

Available Methods

• summary(object)

Examples

# See examples in the vignette file of this package (Section 4).

References

This function is partially adapted from the LS__opt 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