MultiATSM (version 1.3.0)

DatabasePrep: Gather data of several countries in a list. Particularly useful for GVAR-based setups (Compute "GVARFactors")

Description

Gather data of several countries in a list. Particularly useful for GVAR-based setups (Compute "GVARFactors")

Usage

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

Value

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

Arguments

t_First

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

t_Last

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

Economies

A character vector containing the names of the economies included in the system.

N

Integer. Number of country-specific spanned factors.

FactorLabels

A list of character vectors with labels for all variables in the model.

ModelType

A character vector indicating the model type to be estimated.

Wgvar

GVAR transition matrix of size C x C, applicable if a GVAR-type model is selected. Default is NULL.

DataPathMacro

File path to the Excel file containing macroeconomic data, if provided. The default path points to the Excel file available within the package.

DataPathYields

File path to the Excel file containing yields data, if provided. The default path points to the Excel file available within 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 <- "GVAR multi"
FactorLabels <-  LabFac(N, DomVar, GlobalVar, Economies, ModelType)
Wgvar <- Transition_Matrix(t_First = "2006", t_Last= "2019", Economies, type = "Sample Mean")


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