Dear gretl mailing list some while ago, Peter Summers posted his translated code from Stock/Watson's 2007 paper (originally written in Gauss) (URL: http://lists.wfu.edu/pipermail/gretl-users/2011-February/005897.html).
I tried to replicate some work, among them Stock/Watson's paper, but unfortunately I do not get the same or at least similar results using Peter Summer's code. Even though, the input parameters are as in the original Gauss code. Did anybody of you try to replicate this or a another paper before? Unfortunately, I cannot find the issue... I attached the cvs-file with the original data and an the analysis as in the paper by Stock/Watson (2007): URL: http://www.google.com/url?sa=t&rct=j&q=stock%20watson%202007%20why%20has&source=web&cd=10&ved=0CIwBEBYwCQ&url=http%3A%2F%2Fwww.ssc.wisc.edu%2F~bhansen%2F390%2Fharder.pdf&ei=vn2xT76WNs3MsgautqGVBA&usg=AFQjCNHOX_ea0WcLwUHXtMEjCrMzxa2YVw&cad=rja). Best, Artur
<<attachment: ucsv_stockwatson.zip>>
