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RATS programs to replicate Diebold,Rudebusch,Aruoba 2006 factor model

Author

Listed:
  • Tom Doan

    (Estima)

Programming Language

RATS

Abstract

Replication file for Diebold, Rudebusch & Aruoba (2006), "The macroeconomy and the yield curve: a dynamic latent factor approach," Journal of Econometrics, vol. 131(1-2), pages 309-338.

Suggested Citation

  • Tom Doan, "undated". "RATS programs to replicate Diebold,Rudebusch,Aruoba 2006 factor model," Statistical Software Components RTZ00047, Boston College Department of Economics.
  • Handle: RePEc:boc:bocode:rtz00047
    Note: RPF and SRC files are plain text. See https://www.estima.com/ratsfiletypes.shtml
    as

    Download full text from publisher

    File URL: https://www.estima.com/procs_perl/dra_joe_2006.zip
    Download Restriction: no
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    More about this item

    Keywords

    Dynamic factor model; RATS;

    JEL classification:

    • G1 - Financial Economics - - General Financial Markets
    • E4 - Macroeconomics and Monetary Economics - - Money and Interest Rates

    Statistics

    Access and download statistics

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