OrthoReg_JLL function

Get coefficients from the orthogonalized regressions

OrthoReg_JLL(JLLinputs, N, FacSet, FactorLab_NonOrth, FactorLab_JLL)

Arguments

• JLLinputs: List of necessary inputs to estimate JLL-based setups
• N: number of country-specific spanned factors (scalar)
• FacSet: Set of factors used in the estimation of JLL-based setups
• FactorLab_NonOrth: Variable labels of the non-orthogonalized risk factors
• FactorLab_JLL: Variable labels of the orthogonalized risk factors