SpecificMLEInputs function

Concatenate the model-specific inputs in a list

SpecificMLEInputs(
  ModelType,
  Economies,
  RiskFactors,
  FactorLabels,
  GVARlist = NULL,
  JLLlist = NULL,
  WishBRW = 0,
  BRWlist = NULL,
  DataPathTrade = NULL
)

Arguments

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

• Economies: string-vector containing the names of the economies of the system

• RiskFactors: time series of risk factors (F x T)

• FactorLabels: string-list based which contains the labels of all the variables present in the model

• GVARlist: A list of required inputs to estimate the GVAR-based setups:

  1. VARXtype string-vector containing the VARX feature (see "GVAR" function) (GVAR-based models)
  2. t_First_Wgvar Sample starting date (year) (GVAR-based models)
  3. t_Last_Wgvar Sample last date (year) (GVAR-based models)
  4. W_type Criterion used in the computation of the star variables (see "Transition_Matrix" function) (GVAR-based models)

• JLLlist: A list of required inputs to estimate the JLL-based setups:

  1. DomUnit name of the economy which is assigned as the dominant unit (JLL-based models)
  2. WishSigmas equal to "1" if one wishes the variance-covariance matrices and the Cholesky factorizations (JLL-based models)
  3. SigmaNonOrtho NULL or some F x F matrix from the non-orthogonalized dynamics (JLL-based models)

• WishBRW: Whether the user wishes to estimate the physical parameter model with the Bias correction model from BRW (2012) (see "Bias_Correc_VAR" function).

  Default is set to 0.

• BRWlist: A list of required inputs to estimate the bias corrected setups of the type of BRW:

  1. BiasCorrection binary variable. it takes value equal to 1 if the user whishes the estimates to be bias-corrected and 0, otherwise. (BRW model)
  2. flag_mean flag whether mean- (TRUE) or median- (FALSE) unbiased estimation is desired
  3. gamma adjustment parameter (BRW model)
  4. N_iter number of iterations (BRW model)
  5. N_burn number of burn-in iterations (BRW model)
  6. B number of bootstrap samples (BRW model)
  7. checkBRW flag whether the user wishes to perform the closeness check (BRW model)
  8. B_check number of bootstrap samples for closeness check

• DataPathTrade: path of the Excel file containing the data (if any)