Unspanned macro risk model outputs by Bauer and Rudebusch (2017)
data("BR_jps_gro_R3")Unspanned macro risk model outputs by Bauer and Rudebusch (2017)
summary list of log-likelihood estimations
time series of unspanned factors
additional summary list of log-likelihood estimations
Weight matrix that results from principal components analysis
time series of bond yields
total number of risk factor of the model (spanned and unspanned)
total number of spanned factor of the model
Bauer, M. and Rudebusch, G. "Resolving the Spanning Puzzle in Macro-Finance Term Structure Models"