Clark and McCracken (2015) Journal of Econometrics

[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.

[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.

[zcmcgurk]

Thank you