MultiATSM (version 1.5.0)

pca_weights_one_country: Computes the PCA weights for a single country

Description

Computes the PCA weights for a single country

Usage

pca_weights_one_country(Yields, Economy)

Value

matrix (J x J). Eigenvectors of the variance-covariance matrix of yields.

Arguments

Yields

matrix (J x Td). Bond yields for a single country.

Economy

character. Name of the economy.

General Notation

• Td: model time series dimension

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

Examples

data(Yields)
Economy <- "Mexico"
pca_weights <- pca_weights_one_country(Yields, Economy)