# Retrieves data from Excel and builds the database used in the model estimation ```r 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. ## Returns 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. ## Examples ```r 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 ) ``` ## See Also `Load_Excel_Data`

DataForEstimation function