Replications of the JPS (2014) outputs by Bauer and Rudebusch (2017)
Unspanned macro risk model outputs by Bauer and Rudebusch (2017)
data
Format
Unspanned macro risk model outputs by Bauer and Rudebusch (2017)
- est.llk: summary list of log-likelihood estimations
- M.o: time series of unspanned factors
- pars: additional summary list of log-likelihood estimations
- W: Weight matrix that results from principal components analysis
- Y: time series of bond yields
- N: total number of risk factor of the model (spanned and unspanned)
- R: total number of spanned factor of the model
data("BR_jps_gro_R3")
References
Bauer, M. and Rudebusch, G. "Resolving the Spanning Puzzle in Macro-Finance Term Structure Models"