AUX
Mat.Gamma <- apply(AUX,1,cumsum(x))
Mat.Gamma <- apply(AUX,1,cumsum)
Mat.Gamma
Mat.Gamma <- t(apply(AUX,1,cumsum))
Mat.Gamma
Psi
source('~/Google Drive/MyPapers/IDEAS/incompleteinfo/first_essai.R')
source('~/Google Drive/MyPapers/IDEAS/incompleteinfo/first_essai.R')
source('~/Google Drive/MyPapers/IDEAS/incompleteinfo/first_essai.R')
all.y
y
source('~/Google Drive/MyPapers/IDEAS/incompleteinfo/first_essai.R')
source('~/Google Drive/MyPapers/IDEAS/incompleteinfo/first_essai.R')
source('~/Google Drive/MyPapers/IDEAS/incompleteinfo/first_essai.R')
source('~/Google Drive/MyPapers/IDEAS/incompleteinfo/first_essai.R')
discri <- ((1-rho^2)*sigma.eps^2 + sigma.eta^2)^2 + 4 * rho^2 * sigma.eta^2 *sigma.eps^2
discri
kappa.1 <- (- ((1-rho^2)*sigma.eps^2 + sigma.eta^2) + sqrt(discri))/(2 * rho^2 * sigma.eps^2)
kappa.1
kappa.2 <- (- ((1-rho^2)*sigma.eps^2 + sigma.eta^2) - sqrt(discri))/(2 * rho^2 * sigma.eps^2)
kappa.2
source('~/Google Drive/MyPapers/IDEAS/incompleteinfo/first_essai.R')
kappa
source('~/Google Drive/MyPapers/IDEAS/incompleteinfo/first_essai.R')
source('~/Google Drive/MyPapers/IDEAS/incompleteinfo/first_essai.R')
source('~/Google Drive/MyPapers/IDEAS/incompleteinfo/first_essai.R')
source('~/Google Drive/MyPapers/IDEAS/incompleteinfo/first_essai.R')
source('~/Google Drive/MyPapers/IDEAS/incompleteinfo/first_essai.R')
source('~/Google Drive/MyPapers/IDEAS/incompleteinfo/first_essai.R')
source('~/Google Drive/MyPapers/IDEAS/incompleteinfo/first_essai.R')
source('~/Google Drive/MyPapers/IDEAS/incompleteinfo/first_essai.R')
source('~/Google Drive/MyPapers/IDEAS/incompleteinfo/first_essai.R')
source('~/Google Drive/MyPapers/IDEAS/incompleteinfo/first_essai.R')
source('~/Google Drive/MyPapers/IDEAS/incompleteinfo/first_essai.R')
source('~/Google Drive/MyPapers/IDEAS/incompleteinfo/first_essai.R')
source('~/Google Drive/MyPapers/IDEAS/incompleteinfo/first_essai.R')
kappa
source('~/Google Drive/MyPapers/IDEAS/incompleteinfo/first_essai.R')
kappa
source('~/Google Drive/MyPapers/IDEAS/incompleteinfo/first_essai.R')
kappa
source('~/Google Drive/MyPapers/IDEAS/incompleteinfo/first_essai.R')
source('~/Google Drive/MyPapers/IDEAS/incompleteinfo/first_essai.R')
source('~/Google Drive/MyPapers/IDEAS/incompleteinfo/first_essai.R')
source('~/Google Drive/MyPapers/IDEAS/incompleteinfo/first_essai.R')
source('~/Google Drive/MyPapers/IDEAS/incompleteinfo/first_essai.R')
source('~/Google Drive/MyPapers/IDEAS/incompleteinfo/first_essai.R')
source('~/Google Drive/MyPapers/IDEAS/incompleteinfo/first_essai.R')
source('~/Google Drive/MyPapers/IDEAS/incompleteinfo/first_essai.R')
source('~/Google Drive/MyPapers/IDEAS/incompleteinfo/first_essai.R')
all.x
all.y
source('~/Google Drive/MyPapers/IDEAS/incompleteinfo/first_essai.R')
source('~/Google Drive/MyPapers/IDEAS/incompleteinfo/first_essai.R')
source('~/Google Drive/MyPapers/IDEAS/incompleteinfo/first_essai.R')
source('~/Google Drive/MyPapers/IDEAS/incompleteinfo/first_essai.R')
source('~/Google Drive/MyPapers/IDEAS/incompleteinfo/first_essai.R')
source('~/Google Drive/MyPapers/IDEAS/incompleteinfo/first_essai.R')
source('~/Google Drive/MyPapers/IDEAS/incompleteinfo/first_essai.R')
source('~/Google Drive/MyPapers/IDEAS/incompleteinfo/first_essai.R')
source('~/Google Drive/MyPapers/IDEAS/incompleteinfo/first_essai.R')
source('~/Google Drive/MyPapers/IDEAS/incompleteinfo/first_essai.R')
source('~/Google Drive/MyPapers/IDEAS/incompleteinfo/first_essai.R')
source('~/Google Drive/MyPapers/IDEAS/incompleteinfo/first_essai.R')
source('~/Google Drive/MyPapers/IDEAS/incompleteinfo/first_essai.R')
source('~/Google Drive/MyPapers/IDEAS/incompleteinfo/first_essai.R')
source('~/Google Drive/MyPapers/IDEAS/incompleteinfo/first_essai.R')
source('~/Google Drive/MyPapers/IDEAS/incompleteinfo/first_essai.R')
source('~/Google Drive/MyPapers/IDEAS/incompleteinfo/first_essai.R')
PHI <- matrix(0,3,3)
PHI[,2] <- c(rho,rho,0)
PHI[,3] <- c(rho,rho*kappa,rho*(1-kappa))
PHI
Sigma <- matrix(0,3,2)
Sigma[,1] <- c(-1,
-kappa,
kappa-1)
Sigma[,2] <- c((1+kappa)/(1-kappa),
(1+kappa)/(1-kappa)*kappa,
kappa)
Sigma
source('~/Google Drive/MyPapers/IDEAS/incompleteinfo/first_essai.R')
plot(all.X[1,],type="l")
all.X
source('~/Google Drive/MyPapers/IDEAS/incompleteinfo/first_essai.R')
plot(all.X[1,],type="l")
Mu
PHI
Sigma
plot(all.X[1,],type="l")
linies(all.y,col="red")
lines(all.y,col="red")
all.y
Mu
plot(all.X[2,],type="l")
lines(all.x.tt,col="red")
plot(all.X[2,],type="l")
dim(all.X)
plot(all.X[3,],type="l")
source('~/Google Drive/MyPapers/IDEAS/incompleteinfo/first_essai.R')
plot(all.X[1,],type="l")
lines(all.y,col="red")
plot(all.X[2,],type="l")
lines(all.x.tt,col="red")
plot(all.X[3,],type="l")
lines(all.x.tt - all.x,col="red")
plot(all.X[2,],type="l")
lines(all.x.tt,col="red")
source('~/Google Drive/MyPapers/IDEAS/incompleteinfo/first_essai.R')
plot(all.X[1,],type="l")
lines(all.y,col="red")
plot(all.X[2,],type="l")
lines(all.x.tt,col="red")
plot(all.X[3,],type="l")
lines(all.x.tt - all.x,col="red")
Sigma
kappa
PHI
source('~/Google Drive/MyPapers/IDEAS/incompleteinfo/first_essai.R')
plot(all.X[1,],type="l")
lines(all.y,col="red")
plot(all.X[2,],type="l")
lines(all.x.tt,col="red")
plot(all.X[3,],type="l")
lines(all.x.tt - all.x,col="red")
source('~/Google Drive/MyPapers/IDEAS/incompleteinfo/first_essai.R')
source('~/Google Drive/MyPapers/IDEAS/incompleteinfo/first_essai.R')
source('~/Google Drive/MyPapers/IDEAS/incompleteinfo/first_essai.R')
mu
delta <- .99
Gamma <- 5
b.1 <- 1 - delta
b.2 <- (1 - delta) * delta * rho / (1 - delta * rho)
b.2
source('~/Google Drive/MyPapers/IDEAS/incompleteinfo/first_essai.R')
source('~/Google Drive/MyPapers/IDEAS/incompleteinfo/first_essai.R')
plot(-all.a/(1:max.h))
source('~/Google Drive/MyPapers/IDEAS/incompleteinfo/first_essai.R')
source('~/Google Drive/MyPapers/IDEAS/incompleteinfo/first_essai.R')
source('~/Google Drive/MyPapers/IDEAS/incompleteinfo/first_essai.R')
source('~/Google Drive/MyPapers/IDEAS/incompleteinfo/first_essai.R')
source('~/Google Drive/MyPapers/IDEAS/incompleteinfo/first_essai.R')
source('~/Google Drive/MyPapers/IDEAS/incompleteinfo/first_essai.R')
source('~/Google Drive/MyPapers/IDEAS/incompleteinfo/first_essai.R')
source('~/Google Drive/MyPapers/IDEAS/incompleteinfo/first_essai.R')
source('~/Google Drive/MyPapers/IDEAS/incompleteinfo/first_essai.R')
source('~/Google Drive/MyPapers/IDEAS/incompleteinfo/first_essai.R')
source('~/Google Drive/MyPapers/IDEAS/incompleteinfo/first_essai.R')
source('~/Google Drive/MyPapers/IDEAS/incompleteinfo/first_essai.R')
source('~/Google Drive/MyPapers/IDEAS/incompleteinfo/first_essai.R')
source('~/Google Drive/MyPapers/IDEAS/incompleteinfo/first_essai.R')
source('~/Google Drive/MyPapers/IDEAS/incompleteinfo/first_essai.R')
source('~/Google Drive/MyPapers/IDEAS/incompleteinfo/first_essai.R')
source('~/Google Drive/MyPapers/IDEAS/incompleteinfo/first_essai.R')
source('~/Google Drive/MyPapers/IDEAS/incompleteinfo/first_essai.R')
source('~/Google Drive/MyPapers/IDEAS/incompleteinfo/first_essai.R')
source('~/Google Drive/MyPapers/IDEAS/incompleteinfo/first_essai.R')
source('~/Google Drive/MyPapers/IDEAS/incompleteinfo/first_essai.R')
source('~/Google Drive/MyPapers/IDEAS/incompleteinfo/first_essai.R')
source('~/Google Drive/MyPapers/IDEAS/incompleteinfo/first_essai.R')
source('~/Google Drive/MyPapers/IDEAS/incompleteinfo/first_essai.R')
source('~/Google Drive/MyPapers/IDEAS/incompleteinfo/first_essai.R')
source('~/Google Drive/MyPapers/IDEAS/incompleteinfo/first_essai.R')
source('~/Google Drive/MyPapers/IDEAS/incompleteinfo/first_essai.R')
source('~/Google Drive/MyPapers/IDEAS/incompleteinfo/first_essai.R')
source('~/Google Drive/MyPapers/IDEAS/incompleteinfo/first_essai.R')
source('~/Google Drive/MyPapers/IDEAS/incompleteinfo/first_essai.R')
source('~/Google Drive/MyPapers/IDEAS/incompleteinfo/first_essai.R')
source('~/Google Drive/MyPapers/IDEAS/incompleteinfo/first_essai.R')
source('~/Google Drive/MyPapers/IDEAS/incompleteinfo/first_essai.R')
source('~/Google Drive/MyPapers/IDEAS/incompleteinfo/first_essai.R')
source('~/Google Drive/MyPapers/IDEAS/incompleteinfo/first_essai.R')
source('~/Google Drive/MyPapers/IDEAS/incompleteinfo/first_essai.R')
source('~/Google Drive/MyPapers/IDEAS/incompleteinfo/first_essai.R')
source('~/Google Drive/MyPapers/IDEAS/incompleteinfo/first_essai.R')
source('~/Google Drive/MyPapers/IDEAS/incompleteinfo/first_essai.R')
source('~/Google Drive/MyPapers/IDEAS/incompleteinfo/first_essai.R')
source('~/Google Drive/MyPapers/IDEAS/incompleteinfo/first_essai.R')
source('~/Google Drive/MyPapers/IDEAS/incompleteinfo/first_essai.R')
plot(-all.a/(1:max.h))
source('~/Google Drive/MyPapers/IDEAS/incompleteinfo/first_essai.R')
source('~/Google Drive/MyPapers/IDEAS/incompleteinfo/first_essai.R')
source('~/Google Drive/MyPapers/IDEAS/incompleteinfo/first_essai.R')
source('~/Google Drive/MyPapers/IDEAS/incompleteinfo/first_essai.R')
source('~/Google Drive/MyPapers/IDEAS/incompleteinfo/first_essai.R')
source('~/Google Drive/MyPapers/IDEAS/incompleteinfo/first_essai.R')
all.b
all.b/(1:max.h)
kappa
source('~/Google Drive/MyPapers/IDEAS/incompleteinfo/first_essai.R')
kappa
source('~/Google Drive/MyPapers/IDEAS/incompleteinfo/first_essai.R')
kappa
source('~/Google Drive/MyPapers/IDEAS/incompleteinfo/first_essai.R')
source('~/Google Drive/MyPapers/IDEAS/incompleteinfo/first_essai.R')
source('~/Google Drive/MyPapers/IDEAS/incompleteinfo/first_essai.R')
source('~/Google Drive/MyPapers/IDEAS/incompleteinfo/first_essai.R')
source('~/Google Drive/MyPapers/IDEAS/incompleteinfo/first_essai.R')
source('~/Google Drive/MyPapers/IDEAS/incompleteinfo/first_essai.R')
source('~/Google Drive/MyPapers/IDEAS/incompleteinfo/first_essai.R')
source('~/Google Drive/MyPapers/IDEAS/incompleteinfo/first_essai.R')
source('~/Google Drive/MyPapers/IDEAS/incompleteinfo/first_essai.R')
source('~/Google Drive/MyPapers/IDEAS/incompleteinfo/first_essai.R')
source('~/Google Drive/Teaching/UNIL/Rcode/codes.lending.club.2019.R', echo=TRUE)
install.packages("ipred")
names(loanData)
loanData <- read.csv("~/Google Drive/Teaching/UNIL/Rcode/data/LendingClub/loanStats3a.csv")
names(loanData)
source('~/Google Drive/Teaching/UNIL/Rcode/codes.lending.club.2019.R', echo=TRUE)
install.packages("rpart.plot")
install.packages("xtable")
source('~/Google Drive/Teaching/UNIL/Rcode/codes.lending.club.2019.R', echo=TRUE)
names(loanData)
levels(loanData$addr_state)
plot(loanData$revol_bal)
plot(loanData$revol_bal/loanData$annual_inc)
plot(loag(loanData$revol_bal),log(loanData$annual_inc))
plot(log(loanData$revol_bal),log(loanData$annual_inc))
plot(log(loanData$revol_bal)~log(loanData$annual_inc))
summary(lm(log(loanData$revol_bal)~log(loanData$annual_inc)))
summary(lm(log(loanData$revol_bal)~log(loanData$annual_inc)))
plot(loanData$acc_open_past_24mths)
loanData$acc_open_past_24mths
loanData$acc_open_past_24mths
levels(loanData$acc_open_past_24mths)
plot(log(loanData$revol_bal)~log(loanData$annual_inc))
plot(log(loanData$loan_amnt)~log(loanData$annual_inc))
plot(loanData$loan_amnt~loanData$annual_inc)
plot(loanData$loan_amnt~loanData$annual_inc,xlim=c(0,1e6))
plot(loanData$loan_amnt~loanData$emp_length,xlim=c(0,1e6))
plot(loanData$loan_amnt~loanData$emp_length)
plot(loanData$expD~loanData$loan_amnt)
names(loanData)
source('~/Google Drive/Work/Tenure UNIL/report/chart.R', echo=TRUE)
getwd()
setwd("~/Google Drive/Work/Tenure UNIL/report")
source('~/Google Drive/Work/Tenure UNIL/report/chart.R', echo=TRUE)
source('~/Google Drive/Work/Tenure UNIL/report/chart.R', echo=TRUE)
46/54
45/52
43/49
source('~/Google Drive/Work/Tenure UNIL/report/chart.R', echo=TRUE)
source('~/Google Drive/Work/Tenure UNIL/report/chart.R', echo=TRUE)
source('~/Google Drive/Work/Tenure UNIL/report/chart.R', echo=TRUE)
source('~/Google Drive/Work/Tenure UNIL/report/chart.R', echo=TRUE)
source('~/Google Drive/Work/Tenure UNIL/report/chart.R', echo=TRUE)
c(46/55,51/52,46/49)
# MacroEc
c(18/18,20/20,13/13)
source('~/Dropbox/inf_uncertainty/Codes_GMR_JMCB/main.R', echo=TRUE)
source('~/Dropbox/inf_uncertainty/Codes_GMR_JMCB/main.R', echo=TRUE)
source('~/Dropbox/inf_uncertainty/Codes_GMR_JMCB/main.R', echo=TRUE)
install.packages(gdata)
install.packages("gdata")
source('~/Dropbox/inf_uncertainty/Codes_GMR_JMCB/main.R', echo=TRUE)
source('~/Dropbox/inf_uncertainty/Codes_GMR_JMCB/main.R', echo=TRUE)
KF.res$loglik
DATA_dates <- read.csv("~/Dropbox/inf_uncertainty/Rcodes/DATA/DATA_dates.csv", sep=";")
View(DATA_dates)
vec.dates <- read.csv("/DATA/DATA_dates.csv", sep=";")
vec.dates <- read.csv("DATA/DATA_dates.csv", sep=";")
vec.dates[1,2]
vec.dates <- as.Date(vec.dates[,2],"%m.%d.%Y")
vec.dates
DATA_factors <- read.csv2("~/Dropbox/inf_uncertainty/Rcodes/DATA/DATA_factors.csv")
View(DATA_factors)
DATA_factors <- read.csv2("DATA/DATA_factors.csv")
DATA_factors[1,]
names(KF.res)
save(KF.res,file="MODEL/estimated.model.Rdat")
load(KF.res,file="MODEL/estimated.model.Rdat")
load(file="MODEL/estimated.model.Rdat")
source('~/Dropbox/inf_uncertainty/Codes_GMR_JMCB/main.R', echo=TRUE)
source('~/Dropbox/inf_uncertainty/Codes_GMR_JMCB/main.R', echo=TRUE)
load("~/Dropbox/inf_uncertainty/Codes_GMR_JMCB/main.R")
source('~/Dropbox/inf_uncertainty/Codes_GMR_JMCB/main.R', echo=TRUE)
source("./smooth.SPF.R")
save(full.theta,KF.res,estimated.Model,file="MODEL/estimated.model.Rdat")
load(file="results/kfresEAUS.5.2factors.res")
save(full.theta,KF.res,estimated.Model,file="MODEL/estimated.model.Rdat")
source('~/Dropbox/inf_uncertainty/Codes_GMR_JMCB/main.R', echo=TRUE)
estimated.Model
source('~/Dropbox/inf_uncertainty/Codes_GMR_JMCB/make_charts.R', echo=TRUE)
source('~/Dropbox/inf_uncertainty/Codes_GMR_JMCB/make_charts.R', echo=TRUE)
source('~/Dropbox/inf_uncertainty/Codes_GMR_JMCB/make_charts.R', echo=TRUE)
source('~/Dropbox/inf_uncertainty/Codes_GMR_JMCB/make_charts.R', echo=TRUE)
source('~/Dropbox/inf_uncertainty/Codes_GMR_JMCB/main.R', echo=TRUE)
source('~/Dropbox/inf_uncertainty/Codes_GMR_JMCB/main.R', echo=TRUE)
source('~/Dropbox/inf_uncertainty/Codes_GMR_JMCB/main.R', echo=TRUE)
source("./make.term.structures.figures.R")
source('~/Dropbox/inf_uncertainty/Codes_GMR_JMCB/main.R', echo=TRUE)
source('~/Dropbox/inf_uncertainty/Codes_GMR_JMCB/make.term.structures.figures.R', echo=TRUE)
source('~/Dropbox/inf_uncertainty/Codes_GMR_JMCB/compute.analytical.distri.R', echo=TRUE)
Indic.5y.in.Xy <- 1
source('~/Dropbox/inf_uncertainty/Codes_GMR_JMCB/compute.analytical.distri.R', echo=TRUE)
source('~/Dropbox/inf_uncertainty/Codes_GMR_JMCB/make.term.structures.figures.R', echo=TRUE)
indic.if.recompute.PDFs <- 0
source('~/Dropbox/inf_uncertainty/Codes_GMR_JMCB/make.term.structures.figures.R', echo=TRUE)
source('~/Dropbox/inf_uncertainty/Codes_GMR_JMCB/make.times.series.moments.figures.R', echo=TRUE)
source('~/Dropbox/inf_uncertainty/Codes_GMR_JMCB/make.times.series.moments.figures.R', echo=TRUE)
source('~/Dropbox/inf_uncertainty/Codes_GMR_JMCB/make.times.series.moments.figures.R', echo=TRUE)
source('~/Dropbox/inf_uncertainty/Codes_GMR_JMCB/compute.anchoring.probas.R', echo=TRUE)
source('~/Dropbox/inf_uncertainty/Codes_GMR_JMCB/compute.anchoring.probas.revis.JMCB.R', echo=TRUE)
source('~/Dropbox/inf_uncertainty/Codes_GMR_JMCB/compute.anchoring.probas.revis.JMCB.R', echo=TRUE)
source('~/Dropbox/inf_uncertainty/Codes_GMR_JMCB/main.R', echo=TRUE)
source("./make.term.structures.figures.R")
source('~/Dropbox/inf_uncertainty/Codes_GMR_JMCB/make.term.structures.figures.R', echo=TRUE)
source('~/Dropbox/inf_uncertainty/Codes_GMR_JMCB/compute.analytical.distri.R', echo=TRUE)
source('~/Dropbox/inf_uncertainty/Codes_GMR_JMCB/main.R', echo=TRUE)
source('~/Dropbox/inf_uncertainty/Codes_GMR_JMCB/make.term.structures.figures.R', echo=TRUE)
source('~/Dropbox/inf_uncertainty/Codes_GMR_JMCB/make.term.structures.figures.R', echo=TRUE)
source('~/Dropbox/inf_uncertainty/Codes_GMR_JMCB/main.R', echo=TRUE)
source('~/Dropbox/inf_uncertainty/Codes_GMR_JMCB/main.R', echo=TRUE)
source('~/Dropbox/inf_uncertainty/Codes_GMR_JMCB/main.R', echo=TRUE)
dev.off()
dev.off()
dev.off()
dev.off()
dev.off()
dev.off()
dev.off()
dev.off()
dev.off()
dev.off()
source('~/Dropbox/inf_uncertainty/Codes_GMR_JMCB/main.R', echo=TRUE)
source('~/Dropbox/inf_uncertainty/Codes_GMR_JMCB/make.anchoring.probas.figures.R', echo=TRUE)
source('~/Dropbox/inf_uncertainty/Codes_GMR_JMCB/main.R', echo=TRUE)
Indic.5y.in.Xy
indic.whether.recompute.PDFs
source('~/Dropbox/inf_uncertainty/Codes_GMR_JMCB/main.R', echo=TRUE)
source('~/Dropbox/inf_uncertainty/Codes_GMR_JMCB/main.R', echo=TRUE)
source('~/Dropbox/inf_uncertainty/Codes_GMR_JMCB/make.factor.loadings.figure.R', echo=TRUE)
Model <- estimated.Model
FILE = "/OUTPUTS/Figure_loadings.pdf"
pdf(file=paste(getwd(),FILE,sep=""),pointsize=10,width=7, height=9)
unc.mom <- unc.moments.X(estimated.Model)
source('~/Dropbox/inf_uncertainty/Codes_GMR_JMCB/main.R', echo=TRUE)
source('~/Dropbox/inf_uncertainty/Codes_GMR_JMCB/compute.analytical.distri.R', echo=TRUE)
indic.whether.recompute.PDFs
indic.whether.recompute.PDFs <- 0
source('~/Dropbox/inf_uncertainty/Codes_GMR_JMCB/make.term.structures.figures.R', echo=TRUE)
CDF.all
CDF
source('~/Dropbox/inf_uncertainty/Codes_GMR_JMCB/make.term.structures.figures.R', echo=TRUE)
all.quantiles <- apply(CDF.average.all[vec.tt,,,area],c(1,3),function(x){
interporlate.quantile(x,vector.quantiles,x.values)})
CDF.average.all[vec.tt,,,area]
inflation.type
all.quantiles <- apply(CDF.average.all[vec.tt,,,area],c(1,3),function(x){
interporlate.quantile(x,vector.quantiles,x.values)})
x
x.values
source('~/Dropbox/inf_uncertainty/Codes_GMR_JMCB/procedures.R', echo=TRUE)
source('~/Dropbox/inf_uncertainty/Codes_GMR_JMCB/make.term.structures.figures.R', echo=TRUE)
source('~/Dropbox/inf_uncertainty/Codes_GMR_JMCB/procedures.R', echo=TRUE)
source('~/Dropbox/inf_uncertainty/Codes_GMR_JMCB/procedures.R', echo=TRUE)
source('~/Dropbox/inf_uncertainty/Codes_GMR_JMCB/make.term.structures.figures.R', echo=TRUE)
source('~/Dropbox/inf_uncertainty/Codes_GMR_JMCB/procedures.R', echo=TRUE)
source('~/Dropbox/inf_uncertainty/Codes_GMR_JMCB/make.term.structures.figures.R', echo=TRUE)
source('~/Dropbox/inf_uncertainty/Rcodes/main.R', echo=TRUE)
install.packages("xlsx")
source('~/Dropbox/inf_uncertainty/Rcodes/main.R', echo=TRUE)
source('~/Dropbox/inf_uncertainty/Rcodes/main.R', echo=TRUE)
# *****************************************************************************#
# Measuring Inflation Anchoring and Uncertainty: A US and Euro Area Comparison
#
# Olesya Grishchenko, Sarah Mouabbi and Jean-Paul Renne.
#
# January 2019
#
# *****************************************************************************#
# Clear environment and console:
rm(list = ls(all = TRUE)) # clear environment
# clear console:
cat("\014")
# ===================================================
# ===================================================
# Set working directory:
setwd("~/Dropbox/inf_uncertainty/Codes_GMR_JMCB")
# ===================================================
# ===================================================
library(bitops)
library(RCurl)
library(optimx)
library(sandwich)
library(gdata)
library(MASS)
library(compiler)
library(stringr)
par(plt=c(.1,.9,.1,.9))
# Load procedures:
source("./procedures.R")
# Specify model:
n <- 5 # number of Y factors
q <- 2 # number of z factors
# Indicate whether PDFs are computed:
#   (if 1, then "compute.analytical.distri.R" is run; can take a few minutes of computation)
indic.whether.recompute.PDFs <- 1
# Load data:
vec.dates <- read.csv("DATA/DATA_dates.csv", sep=";")
vec.dates <- as.Date(vec.dates[,2],"%m.%d.%Y")
# Load factors:
DATA_factors <- read.csv2("DATA/DATA_factors.csv")
DATA_factors <- DATA_factors[,2:(1+n+q)]
# Load model:
load(file="MODEL/estimated.model.Rdat")
# PREPARE FIGURES --------------------------
source("./make.factor.loadings.figure.R")
source("./make.term.structures.figures.R")
source('./make.times.series.moments.figures.R')
source('./make.anchoring.probas.figures.R')
source('./compute.decomposition.anchoring.R')
# *****************************************************************************#
# *****************************************************************************#
# Measuring Inflation Anchoring and Uncertainty: A US and Euro Area Comparison
#
# Olesya Grishchenko, Sarah Mouabbi and Jean-Paul Renne.
#
# January 2019
#
# *****************************************************************************#
# Clear environment and console:
rm(list = ls(all = TRUE)) # clear environment
# clear console:
cat("\014")
# ===================================================
# ===================================================
# Set working directory:
setwd("~/Dropbox/inf_uncertainty/Codes_GMR_JMCB")
# ===================================================
# ===================================================
library(bitops)
library(RCurl)
library(optimx)
library(sandwich)
library(gdata)
library(MASS)
library(compiler)
library(stringr)
par(plt=c(.1,.9,.1,.9))
# Load procedures:
source("./procedures.R")
# Specify model:
n <- 5 # number of Y factors
q <- 2 # number of z factors
# Indicate whether PDFs are computed:
#   (if 1, then "compute.analytical.distri.R" is run; can take a few minutes of computation)
indic.whether.recompute.PDFs <- 1
# Load data:
vec.dates <- read.csv("DATA/DATA_dates.csv", sep=";")
vec.dates <- as.Date(vec.dates[,2],"%m.%d.%Y")
# Load factors:
DATA_factors <- read.csv2("DATA/DATA_factors.csv")
DATA_factors <- DATA_factors[,2:(1+n+q)]
# Load model:
load(file="MODEL/estimated.model.Rdat")
# PREPARE FIGURES --------------------------
source("./make.factor.loadings.figure.R")
source("./make.term.structures.figures.R")
source('./make.times.series.moments.figures.R')
source('./make.anchoring.probas.figures.R')
source('./compute.decomposition.anchoring.R')
# *****************************************************************************#
# Measuring Inflation Anchoring and Uncertainty: A US and Euro Area Comparison
#
# Olesya Grishchenko, Sarah Mouabbi and Jean-Paul Renne.
#
# January 2019
#
# *****************************************************************************#
# Clear environment and console:
rm(list = ls(all = TRUE)) # clear environment
# clear console:
cat("\014")
# ===================================================
# ===================================================
# Set working directory:
setwd("~/Dropbox/inf_uncertainty/Codes_GMR_JMCB")
# ===================================================
# ===================================================
library(bitops)
library(RCurl)
library(optimx)
library(sandwich)
library(gdata)
library(MASS)
library(compiler)
library(stringr)
par(plt=c(.1,.9,.1,.9))
# Load procedures:
source("./procedures.R")
# Specify model:
n <- 5 # number of Y factors
q <- 2 # number of z factors
# Indicate whether PDFs are computed:
#   (if 1, then "compute.analytical.distri.R" is run; can take a few minutes of computation)
indic.whether.recompute.PDFs <- 1
# Load data:
vec.dates <- read.csv("DATA/DATA_dates.csv", sep=";")
vec.dates <- as.Date(vec.dates[,2],"%m.%d.%Y")
# Load factors:
DATA_factors <- read.csv2("DATA/DATA_factors.csv")
DATA_factors <- DATA_factors[,2:(1+n+q)]
# Load model:
load(file="MODEL/estimated.model.Rdat")
# PREPARE FIGURES --------------------------
source("./make.factor.loadings.figure.R")
source("./make.term.structures.figures.R")
source('./make.times.series.moments.figures.R')
source('./make.anchoring.probas.figures.R')
source('./compute.decomposition.anchoring.R')
