In MichaelGurkov/GaRPackg: Runs GaR analysis

knitr::opts_chunk$set(echo = FALSE, error = FALSE, message = FALSE, warning = FALSE)

devtools::load_all()

library(tidyverse)

library(sn)

raw_df = import_from_fame_template(
  paste0(
    file.path(Sys.getenv("USERPROFILE")),
    "\\OneDrive - Bank Of Israel\\Data\\BoI\\GaR_Data\\Working_data\\data_fame.csv"
  )
)

df = raw_df %>%
  preprocess_df(vars_to_yoy = c(
    "gdp",
    "private_consumption",
    "public_consumption",
    "investment",
    "oecd_imp",
    "exports",
    "imports",
    "sp500",
    "eurostoxx600",
    "oil_p",
    "non_energy_p",
    "credit",
    "house_price",
    "ta125_close"
  ),
vars_to_diff = c("unemployment",
                 "boi_rate",
                 "rate_euro",
                 "rate_us"),
vars_to_4_ma = c("gdp_us",
                 "gdp_euro")
)

partitions_list = list(
  dom_macro = c(
    "private_consumption",
    "public_consumption",
    "investment",
    "unemployment"),
  ext_macro = c(
    "oecd_imp",
    "exports",
    "imports"
  ),
  dom_fin = c(
    "credit",
    "house_price",
    "ta125_close",
    "boi_rate"
  ),
  ext_fin = c(
    "rate_euro",
    "rate_us",
    "sp500",
    "eurostoxx600",
    "oil_p",
    "non_energy_p"
  )
)



horizon_list=c(1,4,8,12)
quantile_vec=c(0.05,0.25,0.5,0.75,0.95)

gar_analysis = run_GaR_analysis(
  partitions_list = partitions_list,
  vars_df = df,
  target_var_name = "gdp",
  horizon_list = horizon_list,
  quantile_vec = quantile_vec)

gar_analysis$gar_fitted_df %>% 
  filter(quantile == "0.05") %>% 
  filter(horizon %in% c(1,4)) %>% 
  ggplot(aes(x = date, y = gar_fitted, color = horizon)) + 
  geom_line()

t_skew_params = gar_analysis$gar_fitted_df %>% 
  filter(date == max(date)) %>% 
  filter(horizon == 1) %>% 
  select(quantile, values = gar_fitted) %>% 
  fit_t_skew()

dst(seq(-33, 68) / 1000, dp = t_skew_params) %>%
  as_tibble() %>%
  mutate(x = seq(-33, 68) / 1000) %>%
  mutate(mark = "no") %>%
  bind_rows(tibble(
    x = qst(p = c(0.05), dp = t_skew_params),
    value = dst(qst(p = c(0.05), dp = t_skew_params), dp = t_skew_params),
    mark = "yes"
  )) %>%
  ggplot(aes(x = x, y = value, color = as_factor(mark),size = mark)) +
  geom_point() +
  scale_color_manual(values = c("no" = "black", "yes" = "red")) +
  scale_size_manual(values = c("no" = 1, "yes" = 2.5)) + 
  scale_x_continuous(labels = scales::percent_format()) +
  xlab(NULL) + ylab(NULL) +
  theme(
    axis.ticks.y = element_blank(),
    axis.text.y = element_blank(),
    legend.position = "none"
  )