Engel, Mark and West (2012)
Posted: Mon Nov 18, 2013 6:20 am
Dear RATS users,
I am interested in replicating the results of the the attached paper by Engel, Mark and West (2012) "Factor Model Forecasts of Exchange Rates", forthchcoming, Econometric Reviews. The data as well as the Eviews code used by the authors are also attached. I believe that the paper is of considerable interest to any RATS user and researcher wanting to employ factor models.
Thanks.
I am interested in replicating the results of the the attached paper by Engel, Mark and West (2012) "Factor Model Forecasts of Exchange Rates", forthchcoming, Econometric Reviews. The data as well as the Eviews code used by the authors are also attached. I believe that the paper is of considerable interest to any RATS user and researcher wanting to employ factor models.
Thanks.