RATS programs to replicate Diebold,Rudebusch,Aruoba 2006 factor model
AbstractReplication 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.
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Bibliographic InfoSoftware component provided by Boston College Department of Economics in its series Statistical Software Components with number RTZ00047.
Programming language: RATS
Requires: RATS 8.00
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Contact details of provider:
Postal: Boston College, 140 Commonwealth Avenue, Chestnut Hill MA 02467 USA
Web page: http://fmwww.bc.edu/EC/
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Other versions of this item:
- Diebold, Francis X. & Rudebusch, Glenn D. & Borag[caron]an Aruoba, S., 2006. "The macroeconomy and the yield curve: a dynamic latent factor approach," Journal of Econometrics, Elsevier, vol. 131(1-2), pages 309-338.
- G1 - Financial Economics - - General Financial Markets
- E4 - Macroeconomics and Monetary Economics - - Money and Interest Rates
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