# Generates inputs necessary to build the likelihood function for the ATSM model ```r 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. ## Returns 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 ```r # 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 ) ```

InputsForOpt function