InputsForOpt: Generates inputs necessary to build the likelihood function...

In MultiATSM: Multicountry Term Structure of Interest Rates Models

Generates inputs necessary to build the likelihood function for the ATSM model

Description

Generates inputs necessary to build the likelihood function for the ATSM model

Usage

InputsForOpt(
  InitialSampleDate,
  FinalSampleDate,
  ModelType,
  Yields,
  GlobalMacro,
  DomMacro,
  FactorLabels,
  Economies,
  DataFrequency,
  GVARlist = NULL,
  JLLlist = NULL,
  WishBRW = FALSE,
  BRWlist = NULL,
  UnitYields = "Month",
  CheckInputs = TRUE,
  BS_Adj = FALSE,
  verbose = TRUE
)

Arguments

InitialSampleDate	Start date of the sample period in the format "dd-mm-yyyy"
FinalSampleDate	End date of the sample period in the format "dd-mm-yyyy"
ModelType	character. Model type to be estimated. Permissible choices: "JPS original", "JPS global", "GVAR single", "JPS multi", "GVAR multi", "JLL original", "JLL No DomUnit", "JLL joint Sigma".
Yields	numerical matrix with time series of yields (J x Td or CJ x Td)
GlobalMacro	numerical matrix with time series of the global risk factors (G x Td)
DomMacro	numerical matrix with time series of the country-specific risk factors for all C countries ( C X Td or CM x Td)
FactorLabels	list. Labels for all variables present in the model, as returned by LabFac.
Economies	character vector. Names of the C economies included in the system.
DataFrequency	character. Data frequency. Permissible choices: "Daily All Days", "Daily Business Days", "Weekly", "Monthly", "Quarterly", "Annually".
GVARlist	list. Inputs for GVAR model estimation. See details below.
JLLlist	list. Inputs for JLL model estimation. See details below.
WishBRW	logical. Whether to estimate the physical parameter model with bias correction (see Bias_Correc_VAR). Default is FALSE.
BRWlist	list. Inputs for bias-corrected estimation.
UnitYields	character. Maturity unit of yields. Permissible choices: "Month" or "Year". Default is "Month".
CheckInputs	logical. Whether to perform a prior check on the consistency of the provided input list. Default is TRUE.
BS_Adj	logical. Whether to adjust the global series for the sepQ models in the Bootstrap setting. Default is FALSE.
verbose	logical. Print progress messages. Default is TRUE.

Value

An object of class 'ATSMModelInputs' containing the necessary inputs for performing the model optimization.

Permissible options for GVARlist

• VARXtype: "unconstrained" or "constrained"

• W_type: "Time-varying" or "Sample Mean"

• t_First_Wgvar, t_Last_Wgvar: year as character

Permissible options for JLLlist

• DomUnit: name of the dominant economy or None

• WishSigmas: TRUE (estimate variance-covariance matrices) or FALSE

• SigmaNonOrtho: NULL or K x K matrix

Permissible options for BRWlist

• BiasCorrection: TRUE (bias-corrected) or FALSE

• flag_mean: TRUE (mean) or FALSE (median)

• gamma: numeric adjustment parameter

• N_iter: number of iterations

• N_burn: number of burn-in iterations

• B: number of bootstrap samples

• checkBRW: TRUE or FALSE

• B_check: number of bootstrap samples for closeness check

General Notation

• Td model time series dimension.

• C number of countries in the system.

• G number of global unspanned factors.

• M number of country-specific unspanned factors.

• K total number of risk factors.

• J number of bond yields per country used in estimation.

Available Methods

- 'print(object)' - 'summary(object)'

Examples

# Example 1:
data(GlobalMacro)
data(DomMacro)
data(Yields)

ModelType <- "JPS original"
Economies <- "Mexico"
t0 <- "01-05-2007" # Initial Sample Date (Format: "dd-mm-yyyy")
tF <- "01-12-2018" # Final Sample Date (Format: "dd-mm-yyyy")
N <- 3
GlobalVar <- c("Gl_Eco_Act") # Global Variables
DomVar <- c("Eco_Act") # Domestic Variables
FactorLabels <- LabFac(N, DomVar, GlobalVar, Economies, ModelType)

DataFreq <- "Monthly"

ATSMInputs <- InputsForOpt(t0, tF, ModelType, Yields, GlobalMacro, DomMacro,
  FactorLabels, Economies, DataFreq,
  CheckInputs = FALSE, verbose = FALSE
)

# Example 2:
LoadData("CM_2024")

ModelType <- "GVAR multi"

Economies <- c("China", "Brazil", "Mexico", "Uruguay")
t0 <- "01-05-2007" # InitialSampleDate (Format: "dd-mm-yyyy")
tF <- "01-12-2019" # FinalSampleDate (Format: "dd-mm-yyyy")
N <- 2
GlobalVar <- c("Gl_Eco_Act", "Gl_Inflation") # Global Variables
DomVar <- c("Inflation") # Domestic Variables
FactorLabels <- LabFac(N, DomVar, GlobalVar, Economies, ModelType)

DataFreq <- "Monthly"
GVARlist <- list(
  VARXtype = "unconstrained", W_type = "Sample Mean",
  t_First_Wgvar = "2007", t_Last_Wgvar = "2019", DataConnectedness = TradeFlows
)

ATSMInputs <- InputsForOpt(t0, tF, ModelType, Yields, GlobalMacro, DomMacro,
  FactorLabels, Economies, DataFreq, GVARlist,
  CheckInputs = FALSE, verbose = FALSE
)

# Example 3:
LoadData("CM_2024")

ModelType <- "JLL original"

Economies <- c("China", "Brazil", "Uruguay")
t0 <- "01-05-2007" # InitialSampleDate (Format: "dd-mm-yyyy")
tF <- "01-12-2019" # FinalSampleDate (Format: "dd-mm-yyyy")
N <- 2
GlobalVar <- c("Gl_Eco_Act", "Gl_Inflation") # Global Variables
DomVar <- c("Eco_Act", "Inflation") # Domestic Variables
FactorLabels <- LabFac(N, DomVar, GlobalVar, Economies, ModelType)

JLLinputs <- list(DomUnit = "China")

DataFrequency <- "Monthly"

ATSMInputs <- InputsForOpt(t0, tF, ModelType, Yields, GlobalMacro, DomMacro,
  FactorLabels, Economies, DataFreq,
  JLLlist = JLLinputs,
  CheckInputs = FALSE, verbose = FALSE
)

MultiATSM documentation built on Nov. 5, 2025, 7:01 p.m.