Repository for "An asymptotically normal out-of-sample test based on mixed estimation windows"
Clone or download
Fetching latest commit…
Cannot retrieve the latest commit at this time.
Permalink
Failed to load latest commit information.
R
data
dbframe-R-library @ 955eb90
oosanalysis-R-library @ 15841ad
talks
tex
texextra @ b4a2641
.gitignore
.gitmodules
CHANGELOG.tex
Makefile
README.md
S0-frontmatter.tex
S1-introduction.tex
S2-normality.tex
S3-montecarlo.tex
S4-empirics.tex
S5-conclusion.tex
X0-references.tex
X1-mathematics.tex
mixedwindow.tex

README.md

mixedwindow.git

This directory contains the code necessary to run the analysis for the paper, "An asymptotically normal out-of-sample test based on mixed estimation windows," by Gray Calhoun. I am making this code available so that other researchers can verify and reproduce my results, but I have no plans to develop it into a stand-alone package.

Version history

  • 2015-04-23: contains slides for a seminar given at University of Montreal on April 23, 2015.
  • 2015-01-09: Version submitted to Econometrica in response to "reject and resubmit"

Download

This code should be available at https://github.com/grayclhn/mixedwindow. The latest version of the paper accompanying this code should be available at http://gray.clhn.org.

License and copying

The R code in this repository is copyright Gray Calhoun (2011-2015) and licensed under the [MIT "Expat" License] (http://opensource.org/licenses/MIT):

Permission is hereby granted, free of charge, to any person obtaining a copy of this software and associated documentation files (the "Software"), to deal in the Software without restriction, including without limitation the rights to use, copy, modify, merge, publish, distribute, sublicense, and/or sell copies of the Software, and to permit persons to whom the Software is furnished to do so, subject to the following conditions:

The above copyright notice and this permission notice shall be included in all copies or substantial portions of the Software.

THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND, EXPRESS OR IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES OF MERCHANTABILITY, FITNESS FOR A PARTICULAR PURPOSE AND NONINFRINGEMENT. IN NO EVENT SHALL THE AUTHORS OR COPYRIGHT HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER LIABILITY, WHETHER IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING FROM, OUT OF OR IN CONNECTION WITH THE SOFTWARE OR THE USE OR OTHER DEALINGS IN THE SOFTWARE.

The file mixedwindow.tex is not, as it contains the main text of the paper. The R libraries dbframe-R-library and oosanalysis-R-library have both been released under the GPL elsewhere, but I am their author and am relicesning them under the MIT license here.

Contact information

Please email Gray Calhoun gcalhoun@iastate.edu with any questions or comments about these files. If you find an error, please email me or open a new issue at https://github.com/grayclhn/mixedwindow/issues. Thanks!