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Generates inputs necessary to build the likelihood function for the ATSM model

Source: R/InputsForOpt.R
InputsForOpt.Rd

Generates inputs necessary to build the likelihood function for the ATSM model

Usage

InputsForOpt(
  InitialSampleDate,
  FinalSampleDate,
  ModelType,
  Yields,
  GlobalMacro,
  DomMacro,
  FactorLabels,
  Economies,
  DataFrequency,
  GVARlist = NULL,
  JLLlist = NULL,
  WishBRW = FALSE,
  BRWlist = NULL,
  UnitYields = "Month",
  CheckInputs = TRUE,
  BS_Adj = FALSE,
  verbose = TRUE
)

Arguments

InitialSampleDate

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

FinalSampleDate

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

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".

Yields

numerical matrix with time series of yields (J x Td or CJ x Td)

GlobalMacro

numerical matrix with time series of the global risk factors (G x Td)

DomMacro

numerical matrix with time series of the country-specific risk factors for all C countries ( C X Td or CM x Td)

FactorLabels

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

Economies

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

DataFrequency

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

GVARlist

list. Inputs for GVAR model estimation. See details below.

JLLlist

list. Inputs for JLL model estimation. See details below.

WishBRW

logical. Whether to estimate the physical parameter model with bias correction (see Bias_Correc_VAR). Default is FALSE.

BRWlist

list. Inputs for bias-corrected estimation.

UnitYields

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

CheckInputs

logical. Whether to perform a prior check on the consistency of the provided input list. Default is TRUE.

BS_Adj

logical. Whether to adjust the global series for the sepQ models in the Bootstrap setting. Default is FALSE.

verbose

logical. Print progress messages. Default is TRUE.

Value

An object of class 'ATSMModelInputs' containing the necessary inputs for performing the model optimization.

Permissible options for GVARlist

  • VARXtype: "unconstrained" or "constrained"

  • W_type: "Time-varying" or "Sample Mean"

  • t_First_Wgvar, t_Last_Wgvar: year as character

Permissible options for JLLlist

  • DomUnit: name of the dominant economy or None

  • WishSigmas: TRUE (estimate variance-covariance matrices) or FALSE

  • SigmaNonOrtho: NULL or K x K matrix

Permissible options for BRWlist

  • BiasCorrection: TRUE (bias-corrected) or FALSE

  • flag_mean: TRUE (mean) or FALSE (median)

  • gamma: numeric adjustment parameter

  • N_iter: number of iterations

  • N_burn: number of burn-in iterations

  • B: number of bootstrap samples

  • checkBRW: TRUE or FALSE

  • B_check: number of bootstrap samples for closeness check

General Notation

  • Td model time series dimension.

  • C number of countries in the system.

  • G number of global unspanned factors.

  • M number of country-specific unspanned factors.

  • K total number of risk factors.

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

Available Methods

- `print(object)` - `summary(object)`

Examples

# \donttest{
# Example 1:
data(GlobalMacro)
data(DomMacro)
data(Yields)

ModelType <- "JPS original"
Economies <- "Mexico"
t0 <- "01-05-2007" # Initial Sample Date (Format: "dd-mm-yyyy")
tF <- "01-12-2018" # Final Sample Date (Format: "dd-mm-yyyy")
N <- 3
GlobalVar <- c("Gl_Eco_Act") # Global Variables
DomVar <- c("Eco_Act") # Domestic Variables
FactorLabels <- LabFac(N, DomVar, GlobalVar, Economies, ModelType)

DataFreq <- "Monthly"

ATSMInputs <- InputsForOpt(t0, tF, ModelType, Yields, GlobalMacro, DomMacro,
  FactorLabels, Economies, DataFreq,
  CheckInputs = FALSE, verbose = FALSE
)

# Example 2:
LoadData("CM_2024")

ModelType <- "GVAR multi"

Economies <- c("China", "Brazil", "Mexico", "Uruguay")
t0 <- "01-05-2007" # InitialSampleDate (Format: "dd-mm-yyyy")
tF <- "01-12-2019" # FinalSampleDate (Format: "dd-mm-yyyy")
N <- 2
GlobalVar <- c("Gl_Eco_Act", "Gl_Inflation") # Global Variables
DomVar <- c("Inflation") # Domestic Variables
FactorLabels <- LabFac(N, DomVar, GlobalVar, Economies, ModelType)

DataFreq <- "Monthly"
GVARlist <- list(
  VARXtype = "unconstrained", W_type = "Sample Mean",
  t_First_Wgvar = "2007", t_Last_Wgvar = "2019", DataConnectedness = TradeFlows
)

ATSMInputs <- InputsForOpt(t0, tF, ModelType, Yields, GlobalMacro, DomMacro,
  FactorLabels, Economies, DataFreq, GVARlist,
  CheckInputs = FALSE, verbose = FALSE
)

# Example 3:
LoadData("CM_2024")

ModelType <- "JLL original"

Economies <- c("China", "Brazil", "Uruguay")
t0 <- "01-05-2007" # InitialSampleDate (Format: "dd-mm-yyyy")
tF <- "01-12-2019" # FinalSampleDate (Format: "dd-mm-yyyy")
N <- 2
GlobalVar <- c("Gl_Eco_Act", "Gl_Inflation") # Global Variables
DomVar <- c("Eco_Act", "Inflation") # Domestic Variables
FactorLabels <- LabFac(N, DomVar, GlobalVar, Economies, ModelType)

JLLinputs <- list(DomUnit = "China")

DataFrequency <- "Monthly"

ATSMInputs <- InputsForOpt(t0, tF, ModelType, Yields, GlobalMacro, DomMacro,
  FactorLabels, Economies, DataFreq,
  JLLlist = JLLinputs,
  CheckInputs = FALSE, verbose = FALSE
)
# }