Compute_BnX_AnX: Compute the latent loading AnX and BnX

In MultiATSM: Multicountry Term Structure of Interest Rates Models

Compute the latent loading AnX and BnX

Description

Compute the latent loading AnX and BnX

Usage

Compute_BnX_AnX(mat, N, K1XQ, r0, dX, SSX, Economies, ModelType, Lab_SingleQ)

Arguments

mat	vector of maturities (J x 1). Maturities are in multiples of the discrete interval used in the model
N	number of country-specific spanned factors
K1XQ	risk neutral feedback matrix (N x N)
r0	the long run risk neutral mean of the short rate (scalar)
dX	state loadings for the one-period rate (1xN). Default is a vector of ones
SSX	the covariance matrix of the errors (N x N)
Economies	string-vector containing the names of the economies which are part of the economic system
ModelType	string-vector containing the label of the model to be estimated
Lab_SingleQ	string-vector containing the labels of the models estimated on a country-by-country basis

MultiATSM documentation built on April 4, 2025, 1:40 a.m.