Christopher Otrok, B. Ravikumar, and Charles H. Whiteman, "Evaluating
Asset-Pricing Models Using the Hansen-Jagannathan Bound: A Monte Carlo
Investigation", Journal of Applied Econometrics, Vol. 17. No. 2, 2002,
pp. 149-174.

All data and programs are in the file orw-hjmc.zip. They are all ASCII files
in DOS format. Unix users should use "unzip -a".

The data are in qdatap.txt, (which is of dimension 203 x 3) and are
quarterly from 1947:1-1997:4. The data are in real terms (the GDP deflator
was used to convert to real terms). The GDP deflator and consumption are
from the BEA website. Treasury Bill returns are from the FRED database at
the St. Louis Fed website. Equity Returns are constructed using the S&P 500
stock price and dividends from the Citibase dataset. The data file has per
capita consumption (nondurables and services) growth in the 1st column,
equity returns in the second column, and treasury bill returns (90 day) in
the third column.

The zip file also contains 6 programs to replicate the results in the paper.
All programs were written using Gauss 3.2 for Windows.

To replicate Figures 1 through 4, run hjtsgmm.prg.

To replicate Table 1:

	1) Run tauchen4.prg to approximate the consumption growth process
        2) Run aprices.prg to cacluate asset return given the output from 1)
        3) Run hjtsgmmc.prg to obtain Z's from the simulations
        4) Run zdistC.prg to get critical values given output from 3)

To replicate Figures 9 or 11, run hbtspwr.prg

If there are any questions on the programs or data please contact:

Christopher Otrok
Department of Economics, 114 Rouss Hall
P.O. Box  400182
University of Virginia
Charlottesville, VA  22904-4182

email: cmo3h@virginia.edu