Get_r0: Compute r0 for the various models
| Get_r0 | R Documentation |
Compute r0 for the various models
Description
Compute r0 for the various models
Usage
Get_r0(Y, P, N, mat, dt, B_list, Wpca, We, Economies, ModelType)
Arguments
Y |
matrix of yields used in estimation (J x T or CJ x T) |
P |
complete set of spanned factors (N x T or CN x T) |
N |
number of country-specific spanned factors |
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. |
B_list |
list containing the B loadings |
Wpca |
matrix of weights of the portfolios observed without errors (N x J or CN x J) |
We |
matrix of weights of the portfolios observed with errors ((J-N) x J or C(J-N) x CJ) |
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 |
