Rachidi Kotchoni, Maxime Leroux, and Dalibor Stevanovic, "Macroeconomic
Forecast Accuracy in a Data-Rich Environment", Journal of Applied
Econometrics, Vol. 34, No. 7, 2019, pp. 1050-1072.

The files that are zipped in kls-files.zip contain Matlab codes and
data to reproduce the out-of-sample forecasting exercise in the paper.
All files are ASVII files in DOS format. Unix/Linux users should use
"unzip -a".

The folder 01_scripts contains the main code.

The folder 02_functions contains Matlab codes for all forecasting models.

The folder 00_data contains the version of FRED-MD dataset that was
used in the paper.

Copyright: Please cite the paper properly when using any part of this
package. The usual disclaimer applies.