Econometric Modelling with Time Series

Specification, Estimation and Testing

PART FOUR: Stationary Time Series

Chapter 15: Latent Factor Models

(1) Recursions of the Univariate Kalman Filter

lfac_uni.g lfac_uni.m lfac_uni.R

lfac_smooth.m lfac_smooth.R

(2) Recursions of the Multivariate Kalman Filter

lfac_multi.g
lfac_multi.m
lfac_multi.R

(3) Term Structure of Interest Rates

lfac_usdata.dat lfac_usdata.mat

(4) Alternative Formulation of the Kalman Filter

lfac_usdata.dat lfac_usdata.mat

(5) An F-VAR Model of the Term Structure

lfac_fvar.g lfac_fvar.m lfac_fvar.R

daily_finance.xls daily_finance.mat daily_finance.Rdata

(6) Sampling Properties of the Principal Components Estimator

lfac_panic.g
lfac_panic.m
lfac_panic.R

(7) Hodrick-Prescott Filter

lfac_hp.g lfac_hp.m lfac_hp.R

lfac_usgdp.dat lfac_usgdp.mat

(8) A Multi-Factor Model of Spreads with Money Shocks

lfac_spreads.g lfac_spreads.m lfac_spreads.R

daily_finance.xls daily_finance.dat daily_finance.csv lfac_daily_finance2.dat

(9) Ex Ante Real Interest Rates

lfac_exante.g lfac_exante.m lfac_exante.R

exante.xls exante.mat exante.Rdata

(10) Capital Asset Pricing Model

lfac_capm.g lfac_capm.m lfac_capm.R

capm.xls capm.mat capm.Rdata

(11) Business Cycles

lfac_bcycle.g lfac_bcycle.m lfac_bcycle.R

lfac_bcycle.dat lfac_bcycle.mat lfac_bcycle.Rdata