Replication material for: 'Diffusion indexes with sparse loadings'.
Johannes Tang Kristensen.
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.