Patton and Timmermann (JBES 2012)
Posted: Mon Aug 11, 2014 4:32 pm
Anyone have code for some of the rationality bounds tests proposed by Patton and Timmermann "Forecast Rationality Tests Based on a Multi-Horizon Bounds", JBES, 30(1), p. 1
Okay, so to help make it easier for someone to try to reproduce their work in RATS, you can find their article at
http://public.econ.duke.edu/~ap172/Patt ... S_2012.pdf
and Patton's MATLAB code for it at
http://public.econ.duke.edu/~ap172/PT_b ... _feb14.zip