Replication material for: 'Diffusion indexes with sparse loadings'.

Johannes Tang Kristensen.

Link to the paper

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This repository contains the material necessary to replicate the empirical application in: 'Diffusion indexes with sparse loadings'.

Required packages

The forecastexp package is required for the estimation and the macrods package provides the data:

library('devtools')
install_github('johannestang/forecastexp')
install_github('johannestang/macrods')

In addition the following packages should be installed : pryr and xtable, both available from CRAN.

Note: Total runtime is approximately 3 hours when using a 20 core machine (2 E5-2680 v2 CPUs @ 2.8 GHz).

/app

• forecastapp.R estimates the models and produces all output.