Compute_BnX_AnX function

Compute the latent loading AnX and BnX

Compute_BnX_AnX(mat, N, K1XQ, r0, dX, SSX, Economies, ModelType, Lab_SingleQ)

Arguments

• mat: vector of maturities (J x 1). Maturities are in multiples of the discrete interval used in the model
• N: number of country-specific spanned factors
• K1XQ: risk neutral feedback matrix (N x N)
• r0: the long run risk neutral mean of the short rate (scalar)
• dX: state loadings for the one-period rate (1xN). Default is a vector of ones
• SSX: the covariance matrix of the errors (N x N)
• 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
• Lab_SingleQ: string-vector containing the labels of the models estimated on a country-by-country basis