Computes the transition matrix required in the estimation of the GVAR model

Computes the transition matrix required in the estimation of the GVAR model

Usage

Transition_Matrix(t_First, t_Last, Economies, type, DataConnectedness)

Arguments

t_First

character. Sample starting date (format: yyyy).

t_Last

character. Sample ending date (format: yyyy).

Economies

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

type

character. Method for computing interdependence. Possible options:

• "Time-varying": Computes time-varying interdependence and returns weight matrices for each year.

• "Sample Mean": Returns a single weight matrix with average weights over the sample period.

• Specific year (e.g., "1998", "2005"): Computes time-invariant interdependence for the specified year.

DataConnectedness

list or data frame. Data used to compute the transition matrix (e.g., trade flows).

Value

matrix or list of matrices. Time-varying or time-invariant transition matrix depending on 'type'.

Details

If there is missing data for any country in a particular year, the transition matrix will include only NAs.

Examples

t_First <- "2006"
t_Last <- "2019"
Economies <- c("China", "Brazil", "Mexico", "Uruguay")
type <- "Sample Mean"
# Load data if Connectedness data from excel, otherwise use pre-saved data
GetExcelData <- FALSE

if (GetExcelData) {
  if (!requireNamespace("readxl", quietly = TRUE)) {
    stop(
      "Please install package \"readxl\" to use this feature.",
      call. = FALSE
    )
    DataPath <- system.file("extdata", "TradeData.xlsx", package = "MultiATSM")
    tab_names_Trade <- readxl::excel_sheets(DataPath)
    list_all_Trade <- suppressMessages(lapply(tab_names_Trade, function(x) {
      readxl::read_excel(path = DataPath, sheet = x)
    }))
    names(list_all_Trade) <- tab_names_Trade

    L <- length(list_all_Trade)

    for (i in 1:L) {
      Countries <- list_all_Trade[[i]][[1]]
      list_all_Trade[[i]] <- as.data.frame(list_all_Trade[[i]][, -1])
      rownames(list_all_Trade[[i]]) <- Countries
    }

    DataConnectedness <- list_all_Trade
  }
} else {
  data(TradeFlows)
  DataConnectedness <- TradeFlows
}

W_mat <- Transition_Matrix(t_First, t_Last, Economies, type, DataConnectedness)