Spanned_Factors {MultiATSM} | R Documentation |
Computes the country-specific spanned factors
Description
Computes the country-specific spanned factors
Usage
Spanned_Factors(Yields, Economies, N)
Arguments
Yields |
matrix (J x T), where J is the number of maturities and T is the length of the time series. |
Economies |
A character vector containing the names of the economies included in the system. |
N |
Scalar representing the desired number of country-specific spanned factors (maximum allowed is N = J). |
Value
Matrix containing the N spanned for all the countries of the system (CJ xT)
Examples
data(CM_Yields)
Economies <- c("China", "Brazil", "Mexico", "Uruguay")
N <- 3
SpaFact_TS <- Spanned_Factors(Yields, Economies, N)
[Package MultiATSM version 1.1.0 Index]