Here at the dancing economist, we wish to educate our followers on the finer points of economics and this includes econometrics and using R. R as mentioned previously is a free statistical software that enables regular people like us to do high end economics research. Recently, I wrote a paper on how the Federal Reserves actions have impacted both short-term and long-term risk premiums. In the next few blog posts I will be posting sections of the paper along with the R code necessary to perform the statistical analysis involved. One interesting result is that the Feds balance sheet although not previously manipulated was heavily involved in reducing long-term risk premia over the period from 1971 to 1997. The methodology in the paper involved performing a Generalized Least Squares procedure and accounting for residual correlation to achieve the assumptions as stated by the Gauss-Markov Theorem. More will follow,
Keep Dancing,
Steven J.
Looking forward to it. Will stay tuned.
ReplyDeleteExcessive money creation like we see today from the fed is a real killer as far as economic recovery goes.
ReplyDelete