armagos2016

RcppArmadillo based codes for reproducting key parts of the paper:

P. Gagliardini, E. Ossola and O. Scaillet

"Time-Varying Risk Premium in Large Cross-Sectional Equity Data Sets"

Econometrica 2016 Volume 84, Issue 3 May 2016.

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key parts:

1. first pass coefficients point estimates and confidence intervals.
2. second pass risk premia point estimates.