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)

Unread post by IRJ »

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 805 times
Data_EMW2.xls
Data
(642.5 KiB) Downloaded 631 times
Engel_Mark_West.pdf
Paper
(572.16 KiB) Downloaded 696 times
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