DatabasePrep: Gather data of several countries in a list. Particularly...

In MultiATSM: Multicountry Term Structure of Interest Rates Models

Gather data of several countries in a list. Particularly useful for GVAR-based setups (Compute "GVARFactors")

Description

Gather data of several countries in a list. Particularly useful for GVAR-based setups (Compute "GVARFactors")

Usage

DatabasePrep(
  t_First,
  t_Last,
  Economies,
  N,
  FactorLabels,
  ModelType,
  Wgvar = NULL,
  DataPathMacro = NULL,
  DataPathYields = NULL
)

Arguments

t_First	Start date of the sample period in the format yyyy-mm-dd.
t_Last	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	A list of character vectors with labels for all variables in the model.
ModelType	A character vector indicating the model type to be estimated.
Wgvar	GVAR transition matrix of size C x C, applicable if a GVAR-type model is selected. Default is NULL.
DataPathMacro	File path to the Excel file containing macroeconomic data, if provided. The default path points to the Excel file available within the package.
DataPathYields	File path to the Excel file containing yields data, if provided. The default path points to the Excel file available within the package

Value

List containing the risk factor set used in the estimation of the GVAR-based models

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 <- 3
ModelType <- "GVAR multi"
FactorLabels <-  LabFac(N, DomVar, GlobalVar, Economies, ModelType)
Wgvar <- Transition_Matrix(t_First = "2006", t_Last= "2019", Economies, type = "Sample Mean")


GVARFactors <- DatabasePrep(t0, tF, Economies, N, FactorLabels, ModelType, Wgvar)

MultiATSM documentation built on June 8, 2025, 1:59 p.m.