MultiATSM (version 0.3.6)

DatabasePrep: Prepare the GVARFactors database

Description

Prepare the GVARFactors database

Usage

DatabasePrep(
  t_First,
  t_Last,
  Economies,
  N,
  FactorLabels,
  ModelType,
  Wgvar = NULL,
  DataPathMacro = NULL,
  DataPathYields = NULL
)

Value

List of the risk factor set used in the estimation of the GVAR model

List containing the risk factor set used in the estimation of the GVAR-based models

Arguments

t_First

sample starting date (yyyy-mm-dd)

t_Last

sample last date (yyyy-mm-dd)

Economies

string-vector containing the names of the economies which are part of the economic system

N

number of country-specific spanned factor (scalar)

FactorLabels

list containing the factor labels

ModelType

string-vector containing the label of the model to be estimated

Wgvar

GVAR transition matrix (CxC), if GVAR type model is chosen; default is set to NULL.

DataPathMacro

path of the Excel file containing the macroeconomic data (if any). The default is linked to the Excel file available in the package.

DataPathYields

path of the Excel file containing the yields data (if any). The default is linked to the Excel file available in the package.

Examples

DomVar <- c("Eco_Act", "Inflation")
GlobalVar <- c("GBC", "CPI_OECD")
t0 <- "2006-09-01"
tF <-  "2019-01-01"
Economies <- c("China", "Brazil", "Mexico", "Uruguay", "Russia")
N <- 3
ModelType <- "JPS jointQ"
FactorLabels <-  LabFac(N, DomVar, GlobalVar, Economies, ModelType)

GVARFactors <- DatabasePrep(t0, tF, Economies, N, FactorLabels, ModelType)