Christopher Otrok
Replication Material
Available Programs:
All computer code is written using Gauss
"On Measuring the Welfare Cost of Business Cycles", Journal of Monetary Economics, February 2001, Vol 47:61-92
Zipped files
to replicate main results
"Habit Formation: A Resolution of The Equity Premium Puzzle?", Journal of Monetary Economics, September 2002, Vol 49:1261:1288
(with B. Ravikumar and Charles H. Whiteman)
Zipped files to
replicate main results
"Evaluating Asset Pricing Models Using The Hansen-Jagannathan Bound: A Monte Carlo Investigation", Journal of Applied Econometrics,
March/April 2002 Vol 17:149-174 (with B. Ravikumar and Charles H. Whiteman).
Zipped files
to replicate main results
"Bayesian Leading Indicators: Measuring and Predicting
Economic Conditions in
Gauss Code to
Estimate Dynamic Factor model with 1 factor
Data Used in
Paper (Gauss FMT file)
"International Business Cycles: World, Region and Country Specific Factors", American Economic Review, Forthcoming, (with M. Ayhan Kose and Charles H. Whiteman)
Gauss Code to
estimate dynamic factor model with 68 factors
Gauss Code to
calculate variance decompositions (run after the dynamic factor program)
Gauss Code
to calculate quantiles of world factor (run after dynamic factor program)
Data used in paper (from Penn World Tables)
You also need the following three .fmt files which are used to normalize factor innovations
The following file contains the country names