MultiATSM (version 1.5.0)

DataForEstimation: Retrieves data from Excel and builds the database used in the model estimation

Description

Retrieves data from Excel and builds the database used in the model estimation

Usage

DataForEstimation(
  t0,
  tF,
  Economies,
  N,
  FactorLabels,
  ModelType,
  DataFrequency,
  Macro_FullData,
  Yields_FullData,
  DataConnect = NULL,
  W_type = NULL,
  t_First_Wgvar = NULL,
  t_Last_Wgvar = NULL
)

Value

A list containing:

1. Yields: matrix (J x Td or CJ x Td) of bond yields for all countries.

2. RiskFactors: matrix (K x Td) of risk factors for all countries.

3. GVARFactors: list of variables used in VARX estimation (see GVARFactors data file). NULL if not GVAR-based.

Arguments

t0

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

tF

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

Economies

character vector. Names of the C economies included in the system.

N

positive integer. Number of country-specific spanned factors.

FactorLabels

list. Labels for all variables present in the model, as returned by LabFac.

ModelType

character. Model type to be estimated. Permissible choices: "JPS original", "JPS global", "GVAR single", "JPS multi", "GVAR multi", "JLL original", "JLL No DomUnit", "JLL joint Sigma".

DataFrequency

character. Data frequency. Permissible choices: "Daily All Days", "Daily Business Days", "Weekly", "Monthly", "Quarterly", "Annually".

Macro_FullData

list. Full set of macroeconomic data.

Yields_FullData

list. Full set of bond yield data.

DataConnect

list. Data for computing bilateral connectedness measures. Default is NULL. Required for GVAR-based models.

W_type

character. Weight matrix type. Permissible choices: "Full Sample" (all years), "Sample Mean" (average over sample), or a specific year (e.g. "1998", "2005"). Default is NULL.

t_First_Wgvar

character. First year for weight matrix computation. Default is NULL.

t_Last_Wgvar

character. Last year for weight matrix computation. Default is NULL.

General Notation

• Td: model time series dimension.

• C: number of countries in the system.

• N: number of country-specific spanned factors.

• K: total number of risk factors.

• J: number of bond yields per country used in estimation.

See Also

Load_Excel_Data

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 <- 2
ModelType <- "JPS original"
FactorLabels <- LabFac(N, DomVar, GlobalVar, Economies, ModelType)
DataFrequency <- "Monthly"
MacroData <- Load_Excel_Data(system.file("extdata", "MacroData.xlsx", package = "MultiATSM"))
YieldData <- Load_Excel_Data(system.file("extdata", "YieldsData.xlsx", package = "MultiATSM"))
DataModel <- DataForEstimation(
  t0, tF, Economies, N, FactorLabels, ModelType, DataFrequency,
  MacroData, YieldData
)