DataForEstimation function

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

DataForEstimation(
  t0,
  tF,
  Economies,
  N,
  FactorLabels,
  ModelType,
  DataFrequency,
  W_type = NULL,
  t_First_Wgvar = NULL,
  t_Last_Wgvar = NULL,
  DataPathMacro = NULL,
  DataPathYields = NULL,
  DataPathTrade = NULL
)

Arguments

• t0: Start date of the sample period in the format yyyy-mm-dd.

• tF: 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: String-list based which contains the labels of all the variables present in the model

• ModelType: String-vector containing the label of the model to be estimated

• DataFrequency: Character-based-vector. Available options are: "Daily All Days", "Daily Business Days", "Weekly", "Monthly", "Quarterly", "Annually"

• W_type: Three possibilities:

  • Full Sample: if one wishes ALL weight matrices of each year from which data is available (it may extrapolate the sample period);
  • Sample Mean: if one wishes a SINGLE weight matrix containing the average of weights over of the entire sample period;
  • Some year in particular (e.g. "1998", "2005" ...).

• t_First_Wgvar: Sample starting date (year)

• t_Last_Wgvar: Sample last date (year)

• DataPathMacro: Path of the Excel file containing the macroeconomic data (if any). The default is linked to the excel file present in the package.

• DataPathYields: Path of the Excel file containing the yields data (if any). The default is linked to the excel file present in the package.

• DataPathTrade: Path of the Excel file containing the trade data (if any). The default is linked to the excel file present in the package.

Returns

A list containing the

1. time series of the complete set of bond yields (matrix, J x T or CJ x T);

2. time series of the complete set risk factors (matrix, K x T);

3. 'GVARFactors': list of all variables that are used in the estimation of the VARX

   (see e.g. CM_Factors_GVAR file). If the estimated model type is not GVAR-based, then returns NULL.

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"

DataModel <- DataForEstimation(t0, tF, Economies, N, FactorLabels, ModelType, DataFrequency)

See Also

InputsForOpt