Description Usage Arguments Value Author(s) References Examples

View source: R/jubilee-macro-fit-method.R

This utility contains the macro regression models, covering GUPTY: three types of GDP, UNRATE (unemployment rate), Payroll, and Treasury yield curve. TCU (total capacity utilization) is also covered in the model but less recommended. Given the in-sample time periods, it will perform model regressions and return a list storing relavant information about the result. The purpose of this method is to automate the regression and facilitate programatic cross validation.

1 2 | ```
jubilee.macro_fit(dtb, N, K, unrate.frac.start, gdp.frac.start, frac.end,
cv.frac.end)
``` |

`dtb` |
data table, usually this is the reg.dtb of the jubilee object |

`N` |
numeric, number of years for GDP log-return calculation in GDP models |

`K` |
numeric, number of years for GDP log-return calculation in Payroll and TCU models |

`unrate.frac.start` |
numeric, starting fraction of unrate regression time period |

`gdp.frac.start` |
numeric, starting fraction of gdp regression time period |

`frac.end` |
numeric, ending fraction of regression time period. This is also the starting fraction of cross-validation. |

`cv.frac.end` |
numeric, ending fraction of cross-validation time period. Cross validation can be disabled by setting it to NA. |

The list of data elements and their attributes.

Stephen H. Lihn

Stephen H.T. Lihn, "Business Cycles, Optimal Interest Rate, and Recession Forecast From Yield Curve, Unemployment, GDP, and Payrolls." Available at SSRN: https://ssrn.com/abstract=3422278

1 2 3 4 5 6 7 8 | ```
## Not run:
repo <- jubilee.repo()
ju <- jubilee(repo@ie, 45, 20)
N <- 4
K <- 1.5
rs <- jubilee.macro_fit(ju@reg.dtb, N, K, 1950, 1960, 2010, 2019)
## End(Not run)
``` |

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