OrthoReg_JLL: Get coefficients from the orthogonalized regressions
In MultiATSM: Multicountry Term Structure of Interest Rates Models
OrthoReg_JLL R Documentation
Get coefficients from the orthogonalized regressions
Description
Get coefficients from the orthogonalized regressions
Usage
OrthoReg_JLL(JLLinputs, N, FacSet, FactorLab_NonOrth, FactorLab_JLL)
Arguments
JLLinputs
List of necessary inputs to estimate JLL-based setups
N
number of country-specific spanned factors (scalar)
FacSet
Set of factors used in the estimation of JLL-based setups
FactorLab_NonOrth
Variable labels of the non-orthogonalized risk factors
FactorLab_JLL
Variable labels of the orthogonalized risk factors
MultiATSM documentation built on April 4, 2025, 1:40 a.m.
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| OrthoReg_JLL | R Documentation |
Get coefficients from the orthogonalized regressions
Description
Get coefficients from the orthogonalized regressions
Usage
OrthoReg_JLL(JLLinputs, N, FacSet, FactorLab_NonOrth, FactorLab_JLL)
Arguments
JLLinputs |
List of necessary inputs to estimate JLL-based setups |
N |
number of country-specific spanned factors (scalar) |
FacSet |
Set of factors used in the estimation of JLL-based setups |
FactorLab_NonOrth |
Variable labels of the non-orthogonalized risk factors |
FactorLab_JLL |
Variable labels of the orthogonalized risk factors |
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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