MultiATSM (version 0.3.6)

Spanned_Factors: Compute the country-specific spanned factors

Description

Compute the country-specific spanned factors

Usage

Spanned_Factors(Yields, Economies, N)

Value

Matrix containing the N spanned for all the countries of the system (CJ xT)

Arguments

Yields

matrix (J x T), where J - the number of maturities and T - time series length

Economies

C-dimensional string-vector containing the names of the economies which are part of the economic system

N

scalar: desired number of spanned factors (maximum number allowed is N= J)

Examples

data(CM_Yields)
Economies <- c("China", "Brazil", "Mexico", "Uruguay")
N <- 3
Spanned_Factors(Yields, Economies, N)