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Clark and McCracken (2015) Journal of Econometrics
Posted: Wed Mar 25, 2015 3:52 pm
by zcmcgurk
I was wondering anyone had code to do the weighted ridge regression bootstrap in Clark and McCracken (2015) for tests of equal predictive ability.
Re: Clark and McCracken (2015) Journal of Econometrics
Posted: Wed Mar 25, 2015 7:41 pm
by tclark
I have attached a .zip file that contains the data and code (a few functions and a program that uses the data and functions) to produce the inflation application results of the paper. The functions include one that handles the ridge estimation you mentioned.
Re: Clark and McCracken (2015) Journal of Econometrics
Posted: Wed Mar 25, 2015 8:46 pm
by zcmcgurk
Thank you