InputsForMLEdensity {MultiATSM}

Generates several inputs that are necessary to build the likelihood function

Description

Generates several inputs that are necessary to build the likelihood function

Usage

InputsForMLEdensity(
  ModelType,
  Yields,
  PdynamicsFactors,
  FactorLabels,
  mat,
  Economies,
  DataFrequency,
  JLLinputs = NULL,
  GVARinputs = NULL,
  BRWinputs = NULL
)

Arguments

ModelType

string-vector containing the label of the model to be estimated

Yields

time series of yields (JxT or CJ x T)

PdynamicsFactors

time series of the risk factors (K x T)

FactorLabels

string-list based which contains the labels of all variables present in the model

mat

vector of maturities (in years) used in the estimation

Economies

string-vector containing the names of the economies of the system.
If the ModelType selected is "JPS", "JPS jointP", "GVAR sepQ", then only one economy can be selected.
For the other models, more than one economy must be selected.

DataFrequency

character-based-vector. Avaialable options are: "Daily All Days", "Daily Business Days", "Weekly", "Monthly", "Quarterly", "Annually"

JLLinputs

list of necessary inputs for the estimation of JLL-based models (see "JLL" function)

GVARinputs

list of necessary inputs for the estimation of GVAR-based models (see "GVAR" function)

BRWinputs

list of necessary inputs for performing the bias-corrected estimation (see "Bias_Correc_VAR" function)

Details

To ensure that the risk factors matrix is correctly built for the model "JPS", the global factors should be allocated on the first G rows of this matrix.

Value

List of necessary inputs for constructing the model's log-likelihood function

Examples

# Example 1:
data(CM_Factors)
data(CM_Yields)

ModelType <- "JPS"
Economies <- "Mexico"
Factors <- RiskFactors
N <- 3
GlobalVar <- c("GBC", "CPI_OECD") # Global Variables
DomVar <- c("Eco_Act", "Inflation") # Domestic Variables
FactorLabels <- LabFac(N, DomVar,GlobalVar, Economies, ModelType)

mat <- c(0.25, 0.5, 1, 3, 5, 10)
DataFrequency <- "Monthly"

i <- length(Economies)
ATSMInputs <- InputsForMLEdensity(ModelType, Yields, Factors, FactorLabels, mat,
                                 Economies, DataFrequency)
# Example 2:
data(CM_Factors)
data(CM_Yields)
data(CM_Factors_GVAR)

ModelType <- "GVAR jointQ"
Economies <- c("China", "Brazil", "Mexico", "Uruguay")
mat <- c(0.25, 0.5, 1, 3, 5, 10)
DataFrequency <- "Monthly"
Factors  <- RiskFactors
N <- 3
GlobalVar <- c("GBC", "CPI_OECD") # Global Variables
DomVar <- c("Eco_Act", "Inflation") # Domestic Variables
FactorLabels <- LabFac(N, DomVar,GlobalVar, Economies, ModelType)

GVARinputs <- list()
GVARinputs$Economies <- Economies
GVARinputs$GVARFactors <- FactorsGVAR
GVARinputs$VARXtype <- "unconstrained"
GVARinputs$Wgvar <- matrix( c(0, 0.83, 0.86, 0.38,
               0.65, 0, 0.13, 0.55,
               0.32, 0.12, 0, 0.07,
               0.03, 0.05, 0.01, 0), nrow = 4, ncol = 4)
ATSMInputs <- InputsForMLEdensity(ModelType, Yields, Factors, FactorLabels, mat, Economies,
                                 DataFrequency, JLLinputs= NULL , GVARinputs)

# Example 3:
if (requireNamespace('neldermead', quietly = TRUE)) {

data(CM_Factors)
data(CM_Yields)
ModelType <- "JLL jointSigma"
GlobalVar <- c("GBC", "CPI_OECD") # Global Variables
DomVar <- c("Eco_Act", "Inflation") # Domestic Variables
N <- 3
Economies <- c( "China", "Brazil", "Mexico", "Uruguay")
FactorLabels <- LabFac(N, DomVar, GlobalVar, Economies, ModelType)

Factors <- RiskFactors
mat <- c(0.25, 0.5, 1, 3, 5, 10)
DataFrequency <- "Monthly"
JLLinputs <- list()
JLLinputs$Economies <- Economies
JLLinputs$DomUnit <- "China"
JLLinputs$WishSigmas <- 1
JLLinputs$SigmaNonOrtho <- NULL
JLLinputs$JLLModelType <- ModelType

ATSMInputs <- InputsForMLEdensity(ModelType, Yields, Factors, FactorLabels, mat, Economies,
                                 DataFrequency, JLLinputs)
} else {
 message("skipping functionality due to missing Suggested dependency")
}