Replication material for: 'Regularized Estimation of Structural Instability in Factor Models: The US Macroeconomy and the Great Moderation'.

Laurent Callot and Johannes Tang Kristensen.

Link to the paper

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Date 01/06/2015

Maintainer: Johannes Tang Kristensen (jtang@creates.au.dk)

This repository contains the material necessary to replicate the empirical application in: 'Regularized Estimation of Structural Instability in Factor Models: The US Macroeconomy and the Great Moderation'.

Required packages

The parsimonious package from the eponymous repository is required for the estimation and the macrods package provides the data:

library('devtools')
install_github('lcallot/parsimonious')
library('parsimonious')
install_github('johannestang/macrods')
library('macrods')

In addition the following packages should be installed : ggplot2, reshape2, xtable, , and zoo, all available from CRAN.

/application

• FactorApp.R estimates the models and produces all output.
• Libs.R contains helper functions.