Replication materials for "Distributional conformal prediction" by V. Chernozhukov, K. Wuthrich, and Y. Zhu.

This repository contains code and data to replicate the numerical examples and the two empirical applications. To replicate the results, put all files into the same folder, download and install the required R-packages, and adjust the working directories accordingly.

The code was last tested using on a MacBook Pro (2020) with macOS Big Sur 11.6 and R version 4.1.1 (2021-08-10) -- "Kick Things".

The stock market data are publicly available and were downloaded on August 17, 2021 from Kenneth R. French's data library: https://mba.tuck.dartmouth.edu/pages/faculty/ken.french/data_library.html

The CPS data are included in the R-package hdm: https://cran.r-project.org/web/packages/hdm/index.html

Questions/error reports: kwuthrich@ucsd.edu