A. Ronald Gallant, "Complementary Bayesian Method of Moments 
Strategies," Journal of Applied Econometrics, Vol. 35, No. 4, 2020,
pp. 422-439.

Contents of zip file rgfiles.zip:

  dcf
  dcf_cbs_10s0s0s0s1400000
  dcf_cg
  lib
  mlesrc
  snpsrc
  tree
  tree_cbs

The article is mainly computational. The data are of less interest than
the code. Accordingly, all code is in the zip file. The documentation
in the form of User's guides is at
www.aronaldg.org/webfiles/package, where package is mle, snp, gsm.

The computations for Section 4 of the article are performed in
directories tree. The data are simulated data. They are generated in
tree/calibrate and written to file pc_geometric.txt.

The computations for Section 5 of the paper are in directory dcf. The
data are documented in dcf/data/DCFdataColYYDoc.txt. The data file used
is dcf/data/DCFdataCol5.txt. These data are from Gallant, A.  Ronald,
and George Tauchen (2018), “Cash Flows Discounted Using a Model Free SDF
Extracted under a Yield Curve Prior,” Manuscript,
http://www.aronaldg.org/papers/dcf.pdf.
These data are converted to a "stock returns and consumption" data set
dcf_cg/lsrlcg.txt in directory dcf_cg/pedist by pedist_3d.cpp.

The computations for Section 6 of the paper are in cb/tree_cbs,
dcf_cbs/ and dcf_cbs_10s0s0s0s1400000.

The best guide to the code is where each of the tables and figures were
computed: 

Source of tables

Table 1 of paper is also Table A2 of online appendix
Table 2 of paper is also Table A5 of online appendix
Table 3 of paper is also Table A8 of online appendix
Table 4 of paper is also Table A11 of online appendix

Table A1  tree_prior.tex cb/tree/pedist/contour_1000.out
Table A2  tree_contour_0050.tex cb/tree/pedist/contour.cpp -> contour_0050.out 
Table A3  tree_contour_0100.tex cb/tree/pedist/contour.cpp -> contour_0100.out 
Table A4  tree_contour_1000.tex cb/tree/pedist/contour.cpp -> contour_1000.out 
Table A5  tree_perun.tex cb/tree/perun.* see README.txt in cb/tree
Table A6  dcf_prior.tex cb/dcf/pedist/dcf_prior.tex -> dcf_prior.tex 
Table A7  dcf_heatmap.tex cb/dcf/pedist/heatmap.cpp -> heatmap.tex
Table A8  dcf_transform_0050.tex cp/dcf/contour -> pedist/transform_0050.tex
Table A9  dcf_transform_0100.tex cp/dcf/contour -> pedist/transform_0100.tex
Table A10 dcf_transform_1000.tex cp/dcf/contour -> pedist/transform_1000.tex
Table A11 dcf_perun.tex cb/dcf/perun.* see README.txt in cb/dcf

Source of figures

Figure 1 of paper is also Figure A1 of online appendix
Figure 2 of paper is also Figure A2 of online appendix
Figure 3 of paper is also Figure A3 of online appendix
Figure 4 of paper is olso Figure A4 of online appendix
Figure 5 of paper is olso Figure A5 of online appendix

Figure A1 tree_Z_0100_qq.eps cb/tree/pedist/Zdist.R -> Z_0100_qq.eps 
Figure A2 dcf_Z_0050_qq.eps cb/dcf/pedist/Zdist.R -> Z_0050_qq.eps
Figure A3 dcf_Z_0050_trf_qq.eps cb/dcf/pedist/Ztrf.R -> dcf_Z_0050_trf_qq.eps
Figure A4 compl_tree_Z_0500_qq.eps cb/tree_cbs/pedist_summary
Figure A5 compl_dcf_Z_0500_qq.eps cb/dcf_cbs_10s0s0s0s1400000/pedist_summary