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