Get_As: Compute the A loadings

In MultiATSM: Multicountry Term Structure of Interest Rates Models

Compute the A loadings

Description

Compute the A loadings

Usage

Get_As(LoadBs, Wpca, r0, dt, Economies, ModelType)

Arguments

LoadBs	list containing the B loadings
Wpca	matrix of weights of the portfolios observed without errors (N x J or CN x J)
r0	long-run interest rate (scalar or vector with length C)
dt	time interval unit of the model (scalar). For instance, if data is (i) monthly, dt <- 12; (ii) quarterly, dt <- 4; (iii) yearly, dt <- 1
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

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