The Model Confidence Set

[ddu]

Dear All,

Does anyone have the RATS code for replicating the Taylor Rules results in the following paper?

Peter R. Hansen & Asger Lunde & James M. Nason, 2011. "The Model Confidence Set," Econometrica, Econometric Society, vol. 79(2), pages 453-497, 03.

The authors have provided their Ox code at http://www.econometricsociety.org/suppm ... id=2&aid=5. But I do not have any experience with Ox.

Thanks in advance.

Ding