Bruce E. Hansen
"Time Series Econometrics for the 21st Century"
The file contains the Stata data and do files to replicate the empirical results reported in the paper.
Data and Statacode
Link to Abstract and PDF File of Paper
Some of the above material is based upon work supported by the National Science Foundation under Grants No. SES-9022176, SES-9120576, SBR-9412339, and SBR-9807111.
Any opinions, findings, and conclusions, or recommendations expressed in this material are those of the author(s), and do not necessarily reflect the views of the NSF.