Spanned_Factors function

Computes the country-specific spanned factors

Spanned_Factors(Yields, Economies, N)

Arguments

• Yields: A matrix (J x T), where J is the number of maturities and T is the length of the time series.
• Economies: A character vector containing the names of the economies included in the system.
• N: Scalar representing the desired number of country-specific spanned factors (maximum allowed is N = J).

Returns

Matrix containing the N spanned factors for all the countries of the system (CJ x T)

Examples

data(CM_Yields)
Economies <- c("China", "Brazil", "Mexico", "Uruguay")
N <- 3
SpaFact_TS <- Spanned_Factors(Yields, Economies, N)