The RATS Software Forum

Hi I'm a new RATS user. I'm wondering if anyone has any code & data for:

The Econometrics of Financial Markets. by Campbell, Lo, and MacKinlay

I thought I give it a try. I guess if it were available, it would be posted on RATS website.

Thanks,
-F.

I would love to be able to post the Campbell, Lo, MacKinlay examples. Unfortunately, most of the data from their examples were taken from CRSP, which has not been willing to give a release, even though these are data sets more than 10 years old. And even though big chunks of CRSP data are already circulating without attribution.

Your heart's in the right place... Going through code examples is my favorite way of learning new econometrics. Thanks for the good work.