Transition_Matrix: Computes the transition matrix required in the estimation of...

In MultiATSM: Multicountry Term Structure of Interest Rates Models

Computes the transition matrix required in the estimation of the GVAR model

Description

Computes the transition matrix required in the estimation of the GVAR model

Usage

Transition_Matrix(
  t_First,
  t_Last,
  Economies,
  type,
  DataConnectedness = NULL,
  DataPath = NULL
)

Arguments

t_First	Sample starting date (in the format: yyyy).
t_Last	Sample ending date (in the format: yyyy).
Economies	A character vector containing the names of the economies included in the system.
type	A character string indicating the method for computing interdependence. Possible options include: Time-varying: Computes time-varying interdependence and returns the weight matrices for each year based on available data (may extrapolate the sample period). Sample Mean: Returns a single weight matrix containing the average weights over the entire sample period, suitable for time-invariant interdependence. A specific year (e.g., "1998", "2005"): Used to compute time-invariant interdependence for the specified year.
DataConnectedness	Data used to compute the transition matrix. Default is set to NULL.
DataPath	Path to the Excel file containing the data (if applicable). The default is linked to the Excel file available in the package.

Details

If there is missing data for any country of the system for that particularly year, then the transition matrix will include only NAs.

Value

matrix or list of matrices

Examples

data(CM_Trade)

t_First <- "2006"
t_Last <-  "2019"
Economies <- c("China", "Brazil", "Mexico", "Uruguay")
type <- "Sample Mean"
W_mat <- Transition_Matrix(t_First, t_Last, Economies, type, DataConnectedness = TradeFlows)

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