create_models: Create Country Models

In franzmohr/bgvars: Bayesian Inference of Global Vector Autoregressive and Gloal Vector Error Correction Models

Create Country Models

Description

Produces a list of country models for each model specification that should be estimated.

Usage

create_models(
  country_data,
  weight_data,
  global_data = NULL,
  model_specs = NULL
)

Arguments

country_data	a named list of time-series objects of country-specific data.
weight_data	a matrix or an array of weights, usually, the output of a call to create_weights.
global_data	a named time-series object of global data.
model_specs	a list of model specifications, usuall, the output of a call to create_specifications.

Value

A list of country data and model specifications.

Examples

# Load data
data("gvar2019")

# Create regions
temp <- create_regions(country_data = gvar2019$country_data,
             weight_data = gvar2019$weight_data,
             region_weights = gvar2019$region_weights,
             regions = list(EA =  c("AT", "BE", "DE", "ES", "FI", "FR", "IT", "NL")),
             period = 3)

country_data <- temp$country_data
weight_data <- temp$weight_data
global_data = gvar2019$global_data

# Difference series to make them stationary
country_data <- diff_variables(country_data, variables = c("y", "Dp", "r"), multi = 100)
global_data <- diff_variables(global_data, multi = 100)

# Create time varying weights
weight_data <- create_weights(weight_data, period = 3, country_data = country_data)

# Generate specifications
model_specs <- create_specifications(
                 country_data = country_data,
                 global_data = global_data,
                 countries = c("US", "JP", "CA", "NO", "GB", "EA"), 
                 domestic = list(variables = c("y", "Dp", "r"), lags = 1:2),
                 foreign = list(variables = c("y", "Dp", "r"), lags = 1:2),
                 global = list(variables = c("poil"), lags = 1),
                 deterministic = list(const = TRUE, trend = FALSE, seasonal = FALSE),
                 iterations = 10,
                 burnin = 10)
# Note that the number of iterations and burnin draws should be much higher!
                                     
# Overwrite country-specific specifications
model_specs[["US"]][["domestic"]][["variables"]] <- c("y", "Dp", "r")
model_specs[["US"]][["foreign"]][["variables"]] <- c("y", "Dp")

# Create estimation objects
country_models <- create_models(country_data = country_data,
                                weight_data = weight_data,
                                global_data = global_data,
                                model_specs = model_specs)

franzmohr/bgvars documentation built on Sept. 2, 2023, 12:45 p.m.