MultiATSM (version 1.5.0)

InputsForOutputs: Collects the inputs that are used to construct the numerical and graphical outputs

Description

Collects the inputs that are used to construct the numerical and graphical outputs

Usage

InputsForOutputs(
  ModelType,
  Horiz,
  ListOutputWished,
  OutputLabel,
  WishStationarityQ,
  DataFrequency,
  WishGraphYields = FALSE,
  WishGraphRiskFactors = FALSE,
  WishOrthoJLLgraphs = FALSE,
  WishForwardPremia = FALSE,
  LimFP = NULL,
  WishBootstrap = FALSE,
  ListBoot = NULL,
  WishForecast = FALSE,
  ListForecast = NULL,
  UnitYields = "Month"
)

Value

List of necessary inputs to generate the graphs and outputs of the desired model.

Arguments

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".

Horiz

numeric scalar. Desired analysis horizon for the outputs.

ListOutputWished

character vector. Desired graphical outputs. Available options: "RiskFactors", "Fit", "IRF", "FEVD", "GIRF", "GFEVD", "TermPremia", "ForwardPremia".

OutputLabel

character. Name of the output label to be stored.

WishStationarityQ

logical. Whether to impose that the largest eigenvalue under Q is strictly smaller than 1. TRUE to impose.

DataFrequency

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

WishGraphYields

logical. Whether to generate graphs for yields. Default is FALSE.

WishGraphRiskFactors

logical. Whether to generate graphs for risk factors. Default is FALSE.

WishOrthoJLLgraphs

logical. Whether to generate orthogonalized JLL-based graphs. Default is FALSE.

WishForwardPremia

logical. Whether to generate forward premia graphs. Default is FALSE.

LimFP

numeric vector. Maturities associated with the start and end dates of the loan.

WishBootstrap

logical. Whether to perform bootstrap-based estimation. Default is FALSE.

ListBoot

list. Contains bootstrap settings: methodBS ("bs", "wild", "block"), BlockLength (numeric), ndraws (numeric), pctg (numeric).

WishForecast

logical. Whether to generate forecasts. Default is FALSE.

ListForecast

list. Contains forecast settings: ForHoriz (numeric), t0Sample (numeric), t0Forecast (numeric), ForType ("Rolling", "Expanding").

UnitYields

character. Maturity unit of yields. Options: "Month" or "Year". Default is "Month".

Examples

ModelType <- "JPS original"
Horiz <- 100
DesiredOutputGraphs <- c("Fit", "GIRF", "GFEVD")
OutputLabel <- "Test"
WishStationarityQ <- TRUE
WishGraphRiskFac <- FALSE
WishGraphYields <- TRUE

InputsList <- InputsForOutputs(
  ModelType, Horiz, DesiredOutputGraphs, OutputLabel,
  WishStationarityQ, WishGraphYields, WishGraphRiskFac
)