InputsForOutputs function

Collects the inputs that are used to construct the numerical and the graphical outputs

InputsForOutputs(
  ModelType,
  Horiz,
  ListOutputWished,
  OutputLabel,
  WishStationarityQ,
  DataFrequency,
  WishGraphYields = 0,
  WishGraphRiskFactors = 0,
  WishOrthoJLLgraphs = 0,
  WishForwardPremia = 0,
  LimFP = NULL,
  WishBootstrap = 0,
  ListBoot = NULL,
  WishForecast = 0,
  ListForecast = NULL,
  UnitYields = "Month"
)

Arguments

• ModelType: A character vector indicating the model type to be estimated.

• Horiz: A numeric scalar specifying the desired analysis horizon for the outputs.

• ListOutputWished: A list of desired graphical outputs. Available options are: "Fit", "IRF", "FEVD", "GIRF", "GFEVD", "TermPremia".

• OutputLabel: A string for the name of the output label to be stored.

• WishStationarityQ: A binary variable (1 or 0) indicating whether to impose that the largest eigenvalue under Q is strictly smaller than 1. Set to 1 to impose the restriction, or 0 otherwise.

• DataFrequency: A character vector specifying the data frequency. Available options: "Daily All Days", "Daily Business Days", "Weekly", "Monthly", "Quarterly", "Annually".

• WishGraphYields: A binary variable (1 or 0) indicating whether the user wishes to generate graphs for yields. Default is 0.

• WishGraphRiskFactors: A binary variable (1 or 0) indicating whether the user wishes to generate graphs for risk factors. Default is 0.

• WishOrthoJLLgraphs: A binary variable (1 or 0) indicating whether the user wishes to generate orthogonalized JLL-based graphs. Default is 0.

• WishForwardPremia: A binary variable (1 or 0) indicating whether the user wishes to generate forward premia graphs. Default is 0.

• LimFP: A numeric vector containing the maturities associated with the start and end dates of the loan.

• WishBootstrap: A binary variable (1 or 0) indicating whether the user wishes to perform bootstrap-based estimation. Default is 0.

• ListBoot: A List containing the following four elements:

  1. methodBS: Desired bootstrap method: (a) 'bs' for standard residual bootstrap, (b) 'wild' for wild bootstrap, or (c) 'block' for block bootstrap.
  2. BlockLength: If block bootstrap is chosen, specify the block length (numeric scalar).
  3. ndraws: Number of bootstrap draws.
  4. pctg: Confidence level expressed in basis points (numeric vector).

• WishForecast: A binary variable (1 or 0) indicating whether the user wishes to generate forecasts. Default is 0.

• ListForecast: A list containing the following three elements:

  1. ForHoriz: forecast horizon;
  2. t0Sample: Index of the first variable in the information set.
  3. t0Forecast: Index of the first forecast cut-off date.
  4. ForType: A string specifying the desired forecast type. Available options are: "Rolling" or "Expanding".

• UnitYields: A character string indicating the maturity unit of yields. Options are: (i) "Month" for yields expressed in months, or (ii) "Year" for yields expressed in years. Default is "Month".

Returns

List of necessary inputs to generate the graphs of the outputs of the desired model

Examples

ModelType <- "JPS original"
Horiz <- 100
DesiredOutputGraphs <- c("Fit", "GIRF", "GFEVD")
OutputLabel <- "Test"
WishStationarityQ <- 1
WishGraphRiskFac <- 0
WishGraphYields <- 1

InputsList <- InputsForOutputs(ModelType, Horiz, DesiredOutputGraphs, OutputLabel,
                              WishStationarityQ, WishGraphYields, WishGraphRiskFac)