Engel, Mark and West (2012)

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IRJ: Posts: 48; Joined: Wed Jan 10, 2007 1:15 am

Engel, Mark and West (2012)

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Unread post by IRJ » 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.

Attachments

EMW_Eviews_code.txt: Code; (28.56 KiB) Downloaded 908 times

Data_EMW2.xls: Data; (642.5 KiB) Downloaded 760 times

Engel_Mark_West.pdf: Paper; (572.16 KiB) Downloaded 879 times

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