Lutz Kilian, "Exchange Rates and Monetary Fundamentals: What Do We Learn
From Long-Horizon Regressions?", Journal of Applied Econometrics,
Vol. 14, No. 5, 1999, pp. 491-510.

In addition to this readme file, there are 8 zip files, each of which
contains a number of data and/or program files. The programs require Matlab
in either a PC or Unix environment.

There are four main types of programs: a) data; b) programs to implement
the bootstrap (there are five versions: three versions for Mark's bootstrap
procedure and two versions for the VECM bootstrap procedure, depending on
the treatment of the drift); c) programs to evaluate the size of the VECM
bootstrap; d) programs to evaluate the power of the VECM bootstrap against
the VECM alternative.  Parts b)-d) use the data from a).

Suggested directory structure:                  Corresponding zip-files:

a)      \data                                   lkdata.zip

b)      \bootstrap\mark\original                markorig.zip
                     ...nodrift                 marknodr.zip
                     ...drift                   markdr.zip
               ...\vecm\drift                   vecmdr.zip
                     ...nodrift                 vecmnodr.zip

c)      \size                                   vecmsize.zip
d)      \power                                  vecmpower.zip


INSTRUCTIONS:

STEP 1: To run the programs one first needs to load and transform the data
in a).  Save the result as Matlab binary files mark_f.mat and mark_s.mat
and move these files into the appropriate subdirectories for b)-c).

STEP 2: To execute the Matlab code for a)-c) one enters Matlab and in the
appropriate subdirectory types the name of the "main" file in each
subdirectory (ignoring the extension *.m).  This file is called jaedata.m
for a); country.m for b); and dgp.m for c) and d).

STEP 3: In dgp.m and country.m the variable "c" (as in country) refers to the
country with c=1,2,3,4 denoting Canada, Germany, Japan, and Switzerland (in
that order).  See jaedata.m for details.

STEP 4:  Note that the bias corrections for the Mark bootstrap procedure
may be activated and deactivated inside the program point.m by putting a %-
sign on the far left of the line involving the function asybc.m.

11/03/98

Lutz Kilian
Assistant Professor
Department of Economics
University of Michigan
Ann Arbor, MI 48109-1220

Phone: (734) 764-2320
Fax:   (734) 764-2769
Email: lkilian@umich.edu
http://www.econ.lsa.umich.edu/~lkilian/