MultiATSM (version 1.0.0)

InputsForOpt: Generates several inputs that are necessary to build the likelihood function

Description

Generates several inputs that are necessary to build the likelihood function

Usage

InputsForOpt(
  InitialSampleDate,
  FinalSampleDate,
  ModelType,
  Yields,
  GlobalMacro,
  DomMacro,
  FactorLabels,
  Economies,
  DataFrequency,
  GVARlist = NULL,
  JLLlist = NULL,
  WishBRW = 0,
  BRWlist = NULL,
  UnitYields = "Month",
  CheckInputs = TRUE,
  BS_Adj = FALSE
)

Value

List of necessary inputs for performing the model optimization.

Arguments

InitialSampleDate

Start date of the sample period in the format "dd-mm-yyyy"

FinalSampleDate

End date of the sample period in the format "dd-mm-yyyy"

ModelType

A character vector indicating the model type to be estimated.

Yields

A numerical matrix with time series of yields (JxT or CJ x T)

GlobalMacro

A numerical matrix with time series of the global risk factors (G x T)

DomMacro

A numerical matrix with time series of the country-specific risk factors for all C countries (CM x T)

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.

DataFrequency

A character vector specifying the frequency of the data. Available options are: "Daily All Days", "Daily Business Days", "Weekly", "Monthly", "Quarterly", or "Annually".

GVARlist

A list containing the necessary inputs for the estimation of GVAR-based models

JLLlist

A list of necessary inputs for the estimation of JLL-based models. If the chosen model is "JLL original" or "JLL joint Sigma", then a dominant unit economy must be chosen. Otherwise, this list must be set as 'None'.

WishBRW

Whether to estimate the physical parameter model with bias correction, based on the method by Bauer, Rudebusch and Wu (2012) (see Bias_Correc_VAR function). Default is set to 0.

BRWlist

List of necessary inputs for performing the bias-corrected estimation (see Bias_Correc_VAR function).

UnitYields

A character string indicating the maturity unit of yields. Options are: (i) "Month" for yields expressed in months, or (ii) "Year" for yields expressed in years. Default is "Month".

CheckInputs

A logical value indicating whether to perform a prior check on the consistency of the provided input list. Default is TRUE.

BS_Adj

A logical value indicating whether to adjust the global series for the sepQ models in the Bootstrap setting. Default is FALSE.

Examples

# \donttest{
# Example 1:
data(CM_GlobalMacroFactors)
data(CM_DomMacroFactors)
data(CM_Yields)


ModelType <- "JPS original"
Economies <- "Mexico"
t0 <- "01-05-2007" # Initial Sample Date (Format: "dd-mm-yyyy")
tF <- "01-12-2018" # Final Sample Date (Format: "dd-mm-yyyy")
N <- 3
GlobalVar <- c("Gl_Eco_Act") # Global Variables
DomVar <- c("Eco_Act") # Domestic Variables
FactorLabels <- LabFac(N, DomVar, GlobalVar, Economies, ModelType)
DataFreq <- "Monthly"

ATSMInputs <- InputsForOpt(t0, tF, ModelType, Yields, GlobalMacroVar, DomesticMacroVar,
                             FactorLabels, Economies, DataFreq, CheckInputs = FALSE)
# Example 2:
LoadData("CM_2024")

ModelType <- "GVAR multi"
Economies <- c("China", "Brazil", "Mexico", "Uruguay")
t0 <- "01-05-2007" # InitialSampleDate (Format: "dd-mm-yyyy")
tF <- "01-12-2019" # FinalSampleDate (Format: "dd-mm-yyyy")#'
N <- 2
GlobalVar <- c("Gl_Eco_Act", "Gl_Inflation") # Global Variables
DomVar <- c("Inflation") # Domestic Variables
FactorLabels <- LabFac(N, DomVar,GlobalVar, Economies, ModelType)

DataFreq <- "Monthly"
GVARlist <- list(VARXtype = "unconstrained", W_type = "Sample Mean",
                 t_First_Wgvar = "2007", t_Last_Wgvar = "2019")
ATSMInputs <- InputsForOpt(t0, tF, ModelType, Yields, GlobalMacroVar, DomesticMacroVar,
                           FactorLabels, Economies, DataFreq, GVARlist, CheckInputs = FALSE)

# Example 3:
if (requireNamespace('neldermead', quietly = TRUE)) {
LoadData("CM_2024")

ModelType <- "JLL original"

Economies <- c("China", "Brazil", "Uruguay")
t0 <- "01-05-2007" # InitialSampleDate (Format: "dd-mm-yyyy")
tF <- "01-12-2019" # FinalSampleDate (Format: "dd-mm-yyyy")#'
N <- 2
GlobalVar <- c("Gl_Eco_Act", "Gl_Inflation") # Global Variables
DomVar <- c("Eco_Act", "Inflation") # Domestic Variables
FactorLabels <- LabFac(N, DomVar,GlobalVar, Economies, ModelType)

JLLinputs <- list(DomUnit = "China")

DataFrequency <- "Monthly"

ATSMInputs <- InputsForOpt(t0, tF, ModelType, Yields, GlobalMacroVar, DomesticMacroVar,
                           FactorLabels, Economies, DataFreq, JLLlist = JLLinputs,
                           CheckInputs = FALSE)
} else {
 message("skipping functionality due to missing Suggested dependency")
}


# }