MultiATSM (version 1.3.0)

Get_r0: 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