Optimization_PE function

Peform the minimization of mean(f)

Optimization_PE(
  f,
  ListInputSet,
  FactorLabels,
  Economies,
  ModelType,
  JLLinputs = NULL,
  GVARinputs = NULL,
  tol = 1e-04,
  TimeCount = TRUE
)

Arguments

• f: vector-valued objective function (function)

• ListInputSet: list contain starting values and constraints: for each input argument K (of f), we need four inputs that look like:

  1. a starting value: K0

  2. a variable label ('K0') followed by a ':' followed by a type of constraint. The constraint can be:

     • 'bounded': bounded matrix;
     • 'Jordan' or 'Jordan MultiCountry': a matrix of Jordan type;
     • 'psd': psd matrix;
     • 'stationary': largest eigenvalue of the risk-neutral feedback matrix is strictly smaller than 1;
     • 'diag' or 'BlockDiag': a diagonal or block diagonal matrix.
     • 'JLLstructure': to impose the zero-restrictions on the variance-variance matrix along the lines of the JLL models

  3. a lower bound lb (lb <- NULL -> no lower bound)

  4. an upper bound ub (ub <- NULL -> no upper bound)

  5. Specification of the optimization settings:

     • 'iter off': hide the printouts of the numerical optimization routines;
     • 'fminunc only': only uses fminunc for the optimization;
     • ''fminsearch only': only uses fminsearch for the optimization.

• 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.

• JLLinputs: List. Inputs for JLL model estimation (see JLL). Default is NULL.

• GVARinputs: List. Inputs for GVAR model estimation (see GVAR). Default is NULL.

• tol: convergence tolerance (scalar). Default value is 1e-4.

• TimeCount: computes the required time for estimation of the model. Default is TRUE.

Examples

#' # See an example of implementation in the vignette file of this package (Section 4).

References

This function is a conceptually based on 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