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

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,
  Macro_FullData,
  Yields_FullData,
  Wgvar = NULL
)

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.

Macro_FullData

List containing a full set of macroeconomic data.

Yields_FullData

List containing a full set of bond yield data

Wgvar

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

Value

List containing the risk factor set. This list is particularly useful for the estimation of the GVAR-based models.

Examples

# Load data from excel
macro_data  <- Load_Excel_Data(system.file("extdata", "MacroData.xlsx", package = "MultiATSM"))
yields_data <- Load_Excel_Data(system.file("extdata", "YieldsData.xlsx", package = "MultiATSM"))
trade_data  <- Load_Excel_Data(system.file("extdata", "TradeData.xlsx", package = "MultiATSM"))
#> New names:
#> • `` -> `...1`
#> New names:
#> • `` -> `...1`
#> New names:
#> • `` -> `...1`
#> New names:
#> • `` -> `...1`
#> New names:
#> • `` -> `...1`

# Adjust trade data
trade_data <- lapply(trade_data, function(df) {
 countries <- df[[1]]
 df <- as.data.frame(df[-1])
 rownames(df) <- countries
 df
})

# Define features of interest
ModelType <- "GVAR multi"
Economies <- c("China", "Uruguay", "Russia")
GlobalVar <- c("GBC", "CPI_OECD")
DomVar <- c("Eco_Act", "Inflation")
N <- 3
t0 <- "2006-09-01"
tF <- "2019-01-01"


# Compute some inputs
FactorLabels <-  LabFac(N, DomVar, GlobalVar, Economies, ModelType)
Wgvar <- Transition_Matrix(t_First = "2006", t_Last= "2019", Economies,
                          type = "Sample Mean", trade_data)

# Compute GVARFactors
GVARFactors <- DatabasePrep(t0, tF, Economies, N, FactorLabels, ModelType, macro_data,
                           yields_data, Wgvar)