Hello everyone,
I am wondering if there are people who have tried coding up:
(1) "The macroeconomy and the yield curve: a dynamic latent factor approach" by Diebold, Rudebusch, and Aruoba in Journal of Econometrics (2006)
That's at http://www.estima.com/forum/viewtopic.php?f=8&t=1028
(2) "The multi-state latent factor intensity model for credit rating transitions" by Koopman, Lucas, and Monteiro in Journal of Econometrics (2008)
I would gratefully appreciate if you would happy to share these codes with me.
Kind Regards,
Shawn Leu