RiskFactorsPrep {MultiATSM} | R Documentation |
Builds the complete set of time series of the risk factors (spanned and unspanned)
Description
Builds the complete set of time series of the risk factors (spanned and unspanned)
Usage
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". |
Value
Risk factors used in the estimation of the desired ATSM
[Package MultiATSM version 1.3.1 Index]