Computes the country-specific spanned factors
Usage
Spanned_Factors(Yields, Economies, N)
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).
Value
matrix. Contains the N spanned factors for all countries in the system (CJ x Td).
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)