DataForEstimation {MultiATSM} | R Documentation |
Retrieves data from Excel and build the database used in the model estimation
Description
Retrieves data from Excel and build the database used in the model estimation
Usage
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:
|
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. |
Value
A list containing the
time series of the complete set of bond yields (matrix, J x T or CJ x T);
time series of the complete set risk factors (matrix, K x T);
'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.
See Also
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)