Spanned_Factors: Computes the country-specific spanned factors

In MultiATSM: Multicountry Term Structure of Interest Rates Models

Computes the country-specific spanned factors

Description

Computes the country-specific spanned factors

Usage

Spanned_Factors(Yields, Economies, N)

Arguments

Yields	matrix (J x Td). Bond yields for all countries.
Economies	character vector. Names of the C economies included in the system.
N	integer. Desired number of country-specific spanned factors (maximum allowed is N = J).

Value

matrix. Contains the N spanned factors for all countries in the system (CJ x Td).

General Notation

• Td: model time series dimension

• C: number of countries in the system

• N: number of country-specific spanned factors

• J: number of bond yields per country used in estimation

Examples

data(Yields)
Economies <- c("China", "Brazil", "Mexico", "Uruguay")
N <- 3
SpaFact_TS <- Spanned_Factors(Yields, Economies, N)

MultiATSM documentation built on Nov. 5, 2025, 7:01 p.m.