OBSERVABLEINDEX.RPF is an example of an "observable index model" from Sargent & Sims(1977), "Business cycle modeling without pretending to have too much a priori economic theory," in New Methods in Business Cycle Research: Proceedings from a Conference, Federal Reserve Bank of Minneapolis. This is famously the one paper co-written by the 2011 Nobel laureates.
Detailed description
The data set is from Bernanke, Boivin & Eliasz (2005), "Measuring the Effects of Monetary Policy: A Factor-augmented Vector Autoregressive (FAVAR) Approach," The Quarterly Journal of Economics, vol. 120(1), pages 387-422. The model is applied to 15 Industrial Production series.
OBSERVABLEINDEX—Observable index model
OBSERVABLEINDEX—Observable index model
Last bumped by TomDoan on Mon Nov 18, 2024 10:11 am.