Replications of the JPS (2014) outputs by Bauer and Rudebusch (2017)
Source:R/BR_jps_gro_R3.R
BR_jps_out.RdUnspanned macro risk model outputs by Bauer and Rudebusch (2017)
Usage
data("BR_jps_gro_R3")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