InputsForOutputs {MultiATSM}

Collect the inputs that are used to construct the numerical and the graphical outputs

Description

Collect the inputs that are used to construct the numerical and the graphical outputs

Usage

InputsForOutputs(
  ModelType,
  Horiz,
  ListOutputWished,
  OutputLabel,
  WishStationarityQ,
  UnitYields,
  WishGraphYields = 0,
  WishGraphRiskFactors = 0,
  WishOrthoJLLgraphs = 0,
  WishForwardPremia = 0,
  LimFP = NULL,
  WishBootstrap = 0,
  ListBoot = NULL,
  WishForecast = 0,
  ListForecast = NULL
)

Arguments

ModelType

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

Horiz

Single numerical vector conataining the desired horizon of analysis for the outputs

ListOutputWished

List of desired graphical outputs. Available options are: "Fit","IRF", "FEVD", "GIRF", "GFEVD".

OutputLabel

Name of the output label to be stored

WishStationarityQ

User must set 1 is she whises to impose the largest eigenvalue under the Q to be strictly smaller than 1, otherwise set 0.

UnitYields

(i) "Month": if maturity of yields are expressed in months or (ii) "Year": if maturity of yields are expressed in years

WishGraphYields

Binary variable: set 1, if the user wishes graphs to be generated; or set 0, otherwise. Default is set as "0".

WishGraphRiskFactors

Binary variable: set 1, if the user wishes graphs to be generated; or set 0, otherwise. Default is set as "0".

WishOrthoJLLgraphs

Binary variable: set 1, if the user wishes orthogonalized JLL-based graphs to be generated; or set 0, otherwise. Default is set as "0"

WishForwardPremia

Binary variable: set 1, if the user wishes graphs to be generated; or set 0, otherwise. Default is set as "0".

LimFP

Numerical vector containing the maturties associated with the starting and the ending date of the loan

WishBootstrap

Binary variable: set 1, if the user wishes graphs to be generated; or set 0, otherwise. Default is set as "0".

ListBoot

List containing the four following elements:

1. "methodBS": Desired bootstrap method among (a) 'bs' (standard residual bootstrap), (b) 'wild' (wild bootstrap), (c) 'block' (block bootstrap);

2. "BlockLength": if block bootstrap is chosen, then the user has to specify the lenght of the block (single numerical vector);

3. "ndraws": number of draws;

4. "pctg": level of confidence (single numerical vector expressed in basis points)

WishForecast

Binary variable: set 1, if the user wishes graphs to be generated; or set 0, otherwise. Default is set as "0".

ListForecast

list containing the three following elements:

1. "ForHoriz": forecast horizon;

2. "t0Sample": index of the first variable of the information set;

3. "t0Forecast": index of the first forecast cut-off date.

Value

List of necessary inputs to generate the graphs of the outputs of the desired model

Examples

ModelType <- "JPS"
Horiz <- 100
DesiredOutputGraphs <- c("Fit", "GIRF", "GFEVD")
OutputLabel <- "Test"
WishStationarityQ <- 1
WishGraphRiskFac <- 0
WishGraphYields <- 1


InputsList <- InputsForOutputs(ModelType, Horiz, DesiredOutputGraphs, OutputLabel,
                              WishStationarityQ, WishGraphYields, WishGraphRiskFac)