Diebold, Rudebusch, Aruoba (2006) "The macroeconomy and the yield curve: a dynamic latent factor approach

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Tavros
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Joined: Wed Jul 27, 2016 9:19 am

Diebold, Rudebusch, Aruoba (2006) "The macroeconomy and the yield curve: a dynamic latent factor approach

Postby Tavros » Wed Jul 27, 2016 9:28 am

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 of the papper above to use as a frem of reference

Thanks.
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dakila
Posts: 489
Joined: Tue Nov 24, 2015 4:57 pm

Re: Diebold, Rudebusch, Aruoba (2006) "The macroeconomy and the yield curve: a dynamic latent factor approach

Postby dakila » Thu Jul 28, 2016 5:19 pm

http://forums.eviews.com/viewtopic.php?t=4808
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