Compute r0 for the various models
Get_r0(Y, P, N, mat, dt, B_list, Wpca, We, Economies, ModelType)
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 factorsmat: 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 loadingsWpca: 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 systemModelType: string-vector containing the label of the model to be estimatedUseful links