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

Source: R/DataForEstimation.R
DataForEstimation.Rd

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
)

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.

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.

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
)