jubilee.macro_cost

data table, usually this is the reg.dtb of the jubilee object

the list returned from <code>jubilee.macro_fit</code>

numeric, the penalty vector for the 6 models.
Default is <code>c(1,1,1)</code>.

penalty

numeric, vector of new <code>rate.tb3ms</code> with length equal to NROW of dtb.
Default is <code>NA</code>.

new.tb3ms

numeric, vector of new <code>rate.gs10</code> with length equal to NROW of dtb.
Default is <code>NA</code>.

new.gs10

This utility calculates the cost function of the macro model according to
the squared error sum with penaty parameter. This utility can be used to
experiment more sophisticated optimization schemes.

data

A long-term forecast model called "Jubilee-Tectonic model" is implemented to forecast future returns of the U.S. stock market, Treasury yield, and gold price. The five-factor model forecasts the 10-year and 20-year future equity returns with high R-squared above 80 percent. It is based on linear growth and mean reversion characteristics in the U.S. stock market. This model also enhances the CAPE model by introducing the hypothesis that there are fault lines in the historical CAPE, which can be calibrated and corrected through statistical learning. In addition, it contains a module for business cycles, optimal interest rate, and recession forecasts.

jubilee.macro_cost: Calculate the cost function of the macro model

Description

Usage

Arguments

Value