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