Computes the country-specific spanned factors
Usage
Spanned_Factors(Yields, Economies, N)
Arguments
- Yields
A matrix (J x T), where J is the number of maturities and T is the length of the time series.
- Economies
A character vector containing the names of the economies included in the system.
- N
Scalar representing the desired number of country-specific spanned factors (maximum allowed is N = J).
Value
Matrix containing the N spanned factors for all the countries of the system (CJ x T)
Examples
data(CM_Yields)
Economies <- c("China", "Brazil", "Mexico", "Uruguay")
N <- 3
SpaFact_TS <- Spanned_Factors(Yields, Economies, N)