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.