MultiATSM (version 1.5.0)

Spanned_Factors: Computes the country-specific spanned factors

Description

Computes the country-specific spanned factors

Usage

Spanned_Factors(Yields, Economies, N)

Value

matrix. Contains the N spanned factors for all countries in the system (CJ x Td).

Arguments

Yields

matrix (J x Td). Bond yields for all countries.

Economies

character vector. Names of the C economies included in the system.

N

integer. Desired number of country-specific spanned factors (maximum allowed is N = J).

General Notation

• Td: model time series dimension

• C: number of countries in the system

• N: number of country-specific spanned factors

• J: number of bond yields per country used in estimation

Examples

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