fadtwo (FActor-Driven TWO-regime regressions)

Last update: 2018-10-08

src folder contains the following source files:

• lib_fadtwo.R: the collection of all R-functions required for estimating the model
• sim-table1.R: simulation; generate Table 1 of LLSS (2018)
• sim-table2.R: simluation; generate Table 2 of LLSS (2018)
• sim-table3.R: simulation; generate Table 3 of LLSS (2018)
• sim-table4.R: simulation; generate Table 4 of LLSS (2018)
• sim-table5.R: simulation; generate Table 5 of LLSS (2018)
• app1-section-9-1.R: empirical application in Section 9.1. Regression results of (9.1) and (9.2).
• app1-section-9-1-selection.R: application in Section 9.1. Model selection among y_{t-2}, y_{t-1}, and y_{t-5}.
• app2-section-9-2-pca.R: application in Section 9.2. Factor: {hansen} or {pca}
• app2-section-9-2-all.R: application in Section 9.2. Factors: {hansen, pca}

results folder contains the results of all codes in the src folder

data folder contains the data sets required for the applications in Section 9