Chapter 3. The Monetary Model.
- The Data. This is a
zipped file that contains quarterly stock returns and the dividend yield
for the US, and spot exchange rates, consumer price indices, industrial
production, and money for a number of industrialized countries.
- MONMDL.PG4. This program does does the MacDonald-Taylor test of the monetary
model.
- This program does the panel long-horizon regression and
out-of-sample forecasts (written by Donggyu Sul).