jubilee (version 0.3.3)

jubilee.macro_fit: The GUPTY macro model

Description

This utility contains the macro regression models, covering GUPTY: three types of GDP, UNRATE (unemployment rate), Payroll, and Treasury yield curve. TCU (total capacity utilization) is also covered in the model but less recommended. Given the in-sample time periods, it will perform model regressions and return a list storing relavant information about the result. The purpose of this method is to automate the regression and facilitate programatic cross validation.

Usage

jubilee.macro_fit(dtb, N, K, unrate.frac.start, gdp.frac.start, frac.end,
  cv.frac.end)

Arguments

dtb

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

N

numeric, number of years for GDP log-return calculation in GDP models

K

numeric, number of years for GDP log-return calculation in Payroll and TCU models

unrate.frac.start

numeric, starting fraction of unrate regression time period

gdp.frac.start

numeric, starting fraction of gdp regression time period

frac.end

numeric, ending fraction of regression time period. This is also the starting fraction of cross-validation.

cv.frac.end

numeric, ending fraction of cross-validation time period. Cross validation can be disabled by setting it to NA.

Value

The list of data elements and their attributes.

References

Stephen H.T. Lihn, "Business Cycles, Optimal Interest Rate, and Recession Forecast From Yield Curve, Unemployment, GDP, and Payrolls." Available at SSRN: https://ssrn.com/abstract=3422278

Examples

# NOT RUN {
  repo <- jubilee.repo()
  ju <- jubilee(repo@ie, 45, 20)
  N <- 4
  K <- 1.5
  rs <- jubilee.macro_fit([e-mail], N, K, 1950, 1960, 2010, 2019)
# }