| BR_jps_out {MultiATSM} | R Documentation |
Replications of the JPS (2014) outputs by Bauer and Rudebusch (2017)
Description
Unspanned 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
References
Bauer, M. and Rudebusch, G. "Resolving the Spanning Puzzle in Macro-Finance Term Structure Models"
[Package MultiATSM version 0.3.6 Index]