Is there anyone has replicated Diebold's yields-macro model?
Posted: Wed Jun 13, 2012 11:17 am
I am trying to replicate the paper written by Diebold et al., which is "The Macroeconomy and the yield curve: a dynamic latent factor approach" (2006).
In the paper, the state-space system with the Kalman Filter Algorithm is used to estimate, so that I set up specification in EViews.
However, I could not get a proper result and found my problem is exactly same as other post in here: http://forums.eviews.com/viewtopic.php?f=4&t=5786
So far, I have never found anyone who successfully replicated the paper.
Please see the post I linked here and help me.
It is really important part of my dissertation.
Thanks
In the paper, the state-space system with the Kalman Filter Algorithm is used to estimate, so that I set up specification in EViews.
However, I could not get a proper result and found my problem is exactly same as other post in here: http://forums.eviews.com/viewtopic.php?f=4&t=5786
So far, I have never found anyone who successfully replicated the paper.
Please see the post I linked here and help me.
It is really important part of my dissertation.
Thanks