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- Wed Jul 27, 2016 9:28 am
- Forum: Programming
- Topic: Diebold, Rudebusch, Aruoba (2006) "The macroeconomy and the yield curve: a dynamic latent factor approach
- Replies: 1
- Views: 4036
Diebold, Rudebusch, Aruoba (2006) "The macroeconomy and the yield curve: a dynamic latent factor approach
Has anyone recreated the results of Diebold, Rudebusch, Aruoba (2006) "The macroeconomy and the yield curve: a dynamic latent factor approach. I am currently something similar but with UK yield data. However my knowledge on state space models is very limited and I would like to have the results...