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
)

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	A character vector indicating the model type to be estimated. Available options: "JPS original", "JPS global", "GVAR single", "JPS multi", "GVAR multi", "JLL original", "JLL No DomUnit", "JLL joint Sigma".
Yields	A numerical matrix with time series of yields (JxT or CJ x T)
GlobalMacro	A numerical matrix with time series of the global risk factors (G x T)
DomMacro	A numerical matrix with time series of the country-specific risk factors for all C countries (CM x T)
FactorLabels	A list of character vectors with labels for all variables in the model.
Economies	A character vector containing the names of the economies included in the system.
DataFrequency	A character vector specifying the frequency of the data. Available options are: "Daily All Days", "Daily Business Days", "Weekly", "Monthly", "Quarterly", or "Annually".
GVARlist	A list containing the necessary inputs for the estimation of GVAR-based models
JLLlist	A list of necessary inputs for the estimation of JLL-based models. If the chosen model is "JLL original" or "JLL joint Sigma", then a dominant unit economy must be chosen. Otherwise, this list must be set as 'None'.
WishBRW	Logical. Whether to estimate the physical parameter model with bias correction, based on the method by Bauer, Rudebusch and Wu (2012). Default is FALSE.
BRWlist	List of necessary inputs for performing the bias-corrected estimation.
UnitYields	A character string indicating the maturity unit of yields. Options are: "Month" for yields expressed in months, or "Year" for yields expressed in years. 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.

Value

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

Available Methods

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

Examples

# Example 1:
data(CM_GlobalMacroFactors)
data(CM_DomMacroFactors)
data(CM_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, GlobalMacroVar, DomesticMacroVar,
                             FactorLabels, Economies, DataFreq, CheckInputs = 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")

ATSMInputs <- InputsForOpt(t0, tF, ModelType, Yields, GlobalMacroVar, DomesticMacroVar,
                           FactorLabels, Economies, DataFreq, GVARlist, CheckInputs = FALSE)

# Example 3:
if (requireNamespace('neldermead', quietly = TRUE)) {
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, GlobalMacroVar, DomesticMacroVar,
                           FactorLabels, Economies, DataFreq, JLLlist = JLLinputs,
                           CheckInputs = FALSE)
} else {
 message("skipping functionality due to missing Suggested dependency")
}

MultiATSM documentation built on April 4, 2025, 1:40 a.m.