Greg Duffee
January 2011
The matlab .mat file 'estimatedFactors' contains two matrices and two
vectors. All have 528 columns. The columns correspond to month-ends
from January 1964 through December 2007.
The matrices 'filteredContempStates' and 'smoothedStates' are the
kalman-filtered and smoothed factors for the model of Table 1. The
'filteredRP' and 'smoothedRP' premultiply these matrices by the
lambda_1 matrix in Table 1 to produce the time series of the risk
premium factor.