MultiATSM (version 1.3.0)

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

Description

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

Usage

DataForEstimation(
  t0,
  tF,
  Economies,
  N,
  FactorLabels,
  ModelType,
  DataFrequency,
  W_type = NULL,
  t_First_Wgvar = NULL,
  t_Last_Wgvar = NULL,
  DataPathMacro = NULL,
  DataPathYields = NULL,
  DataPathTrade = NULL
)

Value

A list containing the

1. time series of the complete set of bond yields (matrix, J x T or CJ x T);

2. time series of the complete set risk factors (matrix, K x T);

3. 'GVARFactors': list of all variables that are used in the estimation of the VARX
   (see e.g. CM_Factors_GVAR file). If the estimated model type is not GVAR-based, then returns NULL.

Arguments

t0

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

tF

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

String-list based which contains the labels of all the variables present in the model

ModelType

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

DataFrequency

Character-based-vector. Available options are: "Daily All Days", "Daily Business Days", "Weekly", "Monthly", "Quarterly", "Annually"

W_type

Three possibilities:

• Full Sample: if one wishes ALL weight matrices of each year from which data is available (it may extrapolate the sample period);

• Sample Mean: if one wishes a SINGLE weight matrix containing the average of weights over of the entire sample period;

• Some year in particular (e.g. "1998", "2005" ...).

t_First_Wgvar

Sample starting date (year)

t_Last_Wgvar

Sample last date (year)

DataPathMacro

Path of the Excel file containing the macroeconomic data (if any). The default is linked to the excel file present in the package.

DataPathYields

Path of the Excel file containing the yields data (if any). The default is linked to the excel file present in the package.

DataPathTrade

Path of the Excel file containing the trade data (if any). The default is linked to the excel file present in the package.

See Also

InputsForOpt

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"

DataModel <- DataForEstimation(t0, tF, Economies, N, FactorLabels, ModelType, DataFrequency)