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Smooth Regimes, Macroeconomic Variables, and Bagging for the Short-Term Interest Rate Process. (2008). Medeiros, Marcelo ; Audrino, Francesco.
In: University of St. Gallen Department of Economics working paper series 2008.
RePEc:usg:dp2008:2008-16.

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  1. Yield Curve Predictability, Regimes, and Macroeconomic Information: A Data-Driven Approach. (2009). Audrino, Francesco ; Filipova, Kameliya .
    In: University of St. Gallen Department of Economics working paper series 2009.
    RePEc:usg:dp2009:2009-10.

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  30. Summary statistics of data Central moments Autocorrelations Mean Stdev Skew Kurt Lag 1 Lag 2 Lag 3 1 mth rates 5.2462 2.6496 1.1198 4.9472 0.9652 0.9376 0.9120 1 mth changes 0.0023 0.6953 1.0930 16.721-0.1028-0.0361-0.0589 60 mth rates 6.6416 2.5365 0.9179 3.5773 0.9878 0.9739 0.9615 Spread 1.3944 1.1878 0.0353 3.8250 0.8449 0.7607 0.6774 CPI 4.0881 2.7835 1.3625 4.5441 0.9902 0.9761 0.9606 PPI 3.5130 4.4441 1.0462 4.5846 0.9761 0.9449 0.9159 HELP 83.169 25.369 0.1720 2.1040 0.9892 0.9786 0.9653 IP 3.0453 4.3952 0.7951 3.9041 0.9684 0.9178 0.8537 UE 1.3869 15.616 1.0880 4.2022 0.9550 0.9149 0.8566 GDP 6.8332 2.7445 0.0191 3.3684 0.9661 0.9324 0.8986
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