Get_Bs function

Build the B loadings

Get_Bs(mat, dt, K1XQ, SSZ, Wpca, FactorLabels, Economy, ModelType)

Arguments

• 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
• K1XQ: risk-neutral feedback matrix (N x N or CN x CN)
• SSZ: variance-covariance matrix (F x F)
• Wpca: matrix of weights of the portfolios observed without errors (N x J or CN x J)
• FactorLabels: string-list based which contains the labels of all the variables present in the model
• Economy: 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