Get_As function

Compute the A loadings

Get_As(LoadBs, Wpca, r0, dt, Economies, ModelType)

Arguments

• LoadBs: list containing the B loadings
• Wpca: matrix of weights of the portfolios observed without errors (N x J or CN x J)
• r0: long-run interest rate (scalar or vector with length C)
• 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
• 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