The Model Confidence Set
Posted: Mon Sep 03, 2012 12:47 pm
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
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