RiskFactorsPrep function

Builds the complete set of time series of the risk factors (spanned and unspanned)

RiskFactorsPrep(
  FactorSet,
  Economies,
  FactorLabels,
  Initial_Date,
  Final_Date,
  DataFrequency
)

Arguments

• FactorSet: Factor set list (see e.g. "CM_Factors_GVAR" data file)
• Economies: A character vector containing the names of the economies included in the system.
• FactorLabels: A list of character vectors with labels for all variables in the model.
• Initial_Date: Start date of the sample period in the format yyyy-mm-dd
• Final_Date: End date of the sample period in the format yyyy-mm-dd
• DataFrequency: A character vector specifying the data frequency. Available options: "Daily All Days", "Daily Business Days", "Weekly", "Monthly", "Quarterly", "Annually".

Returns

Risk factors used in the estimation of the desired ATSM