Help with loop code for a factor model

[technocrat]

@pao.martos

FX_returns[, i] <- mean_returns[i] + std_returns[i] * (rho1 * factor1_shocks + sqrt(1 - rho1^2) * (independent_shocks)+ std_returns[i] * (rho2 * factor2_shocks + sqrt(1 - rho2^2) * independent_shocks)
}

This is as bar as it's possible to follow the problem because of a syntax error. When corrected, the next problem is that factor1_loadings is not in namespace. These are problems that a reprex (see the FAQ can solve to get everyone on the same page.

So, I can only offer generic advice.

1. When the incorrect number of subscripts on matrix error goes get fixed, the for loop will not return anything because Fx_returns is created in the local environment of the function and is not returned to the global environment. And the usual attempt to make a return almost always returns just the final iteration. The usual fix is to initialize Fx_returns in the global environment here as a matrix object with dimensions equal to the number of rows and columns anticipated, filled with NA. The assignment of FX_returns[, i] will fill the object all rows at a time for each column and the results will persist.

2. If FX_returns has two dimensions, as indicated by FX_returns[,i], no fewer and no more may be assigned to it. If it is actually a vector it has only one dimension and the assignment should be indicated FX_returns[1]` and no more can be stuffed. So, you should look at each term being assigned to it and make sure they result in a vector.