Get_Bs: Build the B loadings

In MultiATSM: Multicountry Term Structure of Interest Rates Models

Build the B loadings

Description

Build the B loadings

Usage

Get_Bs(mat, dt, K1XQ, SSZ, Wpca, FactorLabels, Economy, ModelType)

Arguments

mat	vector of maturities (in years) of yields used in estimation (J x 1)
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
K1XQ	risk-neutral feedback matrix (N x N or CN x CN)
SSZ	variance-covariance matrix (F x F)
Wpca	matrix of weights of the portfolios observed without errors (N x J or CN x J)
FactorLabels	string-list based which contains the labels of all the variables present in the model
Economy	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.