| MultiATSM-package | ATSM Package |
| Bias_Correc_VAR | Estimate an unbiased VAR(1) using stochastic approximation (Bauer, Rudebusch and Wu, 2012) |
| Bootstrap | Generates the bootstrap-related outputs |
| BR_jps_out | Replications of the JPS (2014) outputs by Bauer and Rudebusch (2017) |
| DatabasePrep | Prepare the GVARFactors database |
| DataForEstimation | Retrieve data from Excel and build the database used in the model estimation |
| FactorsGVAR | Data: Risk Factors for the GVAR - Candelon and Moura (2021) |
| ForecastYields | Gather bond yields forecasts for all the model types |
| Functionf | Set up the vector-valued objective function (Point estimate) |
| GVAR | Estimate a GVAR(1) and a VARX(1,1,1) |
| GVARFactors | Data: Risk Factors for the GVAR - Candelon and Moura (2023) |
| InputsForMLEdensity | Generates several inputs that are necessary to build the likelihood function |
| InputsForOutputs | Collect the inputs that are used to construct the numerical and the graphical outputs |
| JLL | Set of inputs present at JLL's P-dynamics |
| K1XQStationary | Impose stationarity under the Q-measure |
| LabFac | Generates the labels factors |
| ListModelInputs | Concatenate the model-specific inputs in a list |
| Maturities | Create a vector of numerical maturities in years |
| ModelPara | Replications of the JPS (2014) outputs by the MultiATSM package |
| MultiATSM | ATSM Package |
| NumOutputs | Construct the model numerical outputs (model fit, IRFs, GIRFs, FEVDs, GFEVDs, and risk premia decomposition) |
| Optimization | Peform the minimization of mean(f) |
| ParaLabels | Create the variable labels used in the estimation |
| pca_weights_one_country | Weigth matrix from principal components (matrix of eigenvectors) |
| Reg_K1Q | Estimate the risk-neutral feedbak matrix K1Q using linear regressions |
| RiskFactors | Data: Risk Factors - Candelon and Moura (2021) |
| RMSEsep | Compute the root mean square error ("sep Q" models) |
| Spanned_Factors | Compute the country-specific spanned factors |
| StarFactors | Generates the star variables necessary for the GVAR estimation |
| TradeFlows | Data: Trade Flows - Candelon and Moura (2021) |
| Trade_Flows | Data: Trade Flows - Candelon and Moura (2023) |
| Transition_Matrix | Compute the transition matrix required in the estimation of the GVAR model |
| VAR | Estimates a VAR(1) |
| Yields | Data: Yields - Candelon and Moura (2021) |