BR_jps_out: Replications of the JPS (2014) outputs by Bauer and Rudebusch...
In MultiATSM: Multicountry Term Structure of Interest Rates Models
BR_jps_out R Documentation
Replications of the JPS (2014) outputs by Bauer and Rudebusch (2017)
Description
Unspanned macro risk model outputs by Bauer and Rudebusch (2017)
Usage
data("BR_jps_gro_R3")
Format
Unspanned macro risk model outputs by Bauer and Rudebusch (2017)
- est.llk
summary list of log-likelihood estimations
- M.o
time series of unspanned factors
- pars
additional summary list of log-likelihood estimations
- W
Weight matrix that results from principal components analysis
- Y
time series of bond yields
- N
total number of risk factor of the model (spanned and unspanned)
- R
total number of spanned factor of the model
References
Bauer, M. and Rudebusch, G. "Resolving the Spanning Puzzle in Macro-Finance Term Structure Models"
MultiATSM documentation built on April 4, 2025, 1:40 a.m.
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| BR_jps_out | R Documentation |
Replications of the JPS (2014) outputs by Bauer and Rudebusch (2017)
Description
Unspanned macro risk model outputs by Bauer and Rudebusch (2017)
Usage
data("BR_jps_gro_R3")
Format
Unspanned macro risk model outputs by Bauer and Rudebusch (2017)
- est.llk
summary list of log-likelihood estimations
- M.o
time series of unspanned factors
- pars
additional summary list of log-likelihood estimations
- W
Weight matrix that results from principal components analysis
- Y
time series of bond yields
- N
total number of risk factor of the model (spanned and unspanned)
- R
total number of spanned factor of the model
References
Bauer, M. and Rudebusch, G. "Resolving the Spanning Puzzle in Macro-Finance Term Structure Models"
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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