Natalia Bailey, George Kapetanios, and M. Hashem Pesaran (2021),
"Measurement of Factor Strength: Theory and Practice", Journal of
Applied Econometrics, Vol. 36, No. 5, 2021, pp. 587-613.

All files are zipped in the (rather large!) file bkp-files.zip.
Contrary to the usual practice of the JAe dATA archive, the data are
stored in .xls files.

The directory structure within bkp-files.zip is

   Procedures/
   Procedures/Empirics/
   Procedures/Simulations/
   Results/
   Results/Empirics/
   Results/Simulations/


Monte Carlo simulations (procedures and results):
(Section 5 of BKP 2021 paper and Supplementary Appendix E)

All Gauss procedures corresponding to the experiments of Section 5 of
BKP 2021 main paper can be found in Procedures\Simulations. These are:

File: "mc_FS1A.prg"
File: "mc_FS1A_Power.prg"
File: "mc_FS1B.prg"
File: "mc_FS1B_Power.prg"
File: "mc_FS2A.prg"
File: "mc_FS2A_Power.prg"
File: "mc_FS2B.prg"
File: "mc_FS2B_Power.prg"
File: "mc_FS3Aa.prg"
File: "mc_FS3Aa_Power.prg"
File: "mc_FS3Ab.prg"
File: "mc_FS3Ab_Power.prg"
File: "mc_FS3B_PC.prg"
File: "mc_FS3Ba_CSA.prg"
File: "mc_FS3Bb_CSA.prg"
File: "mc_FS3Bc_SeqCSA.prg"
File: "mc_FS4a.prg"
File: "mc_FS4b.prg"

The names of these files correspond to the names of the experiments in
Section 5 of BKP 2021 main paper. The description of each experiment
and the corresponding Tables/Figures in the paper are provided at the
top of each .prg file.

The content of all results tables and figures for the experiments of
Section 5 of BKP 2021 shown in the main paper and Supplementary
Appendix E can be found in Results\Simulations.  These are:

File: FS_MC_tables.xlsx
File: power_matlab.xlsx


Empirical Applications (procedures and results):
(Section 6 of BKP 2021 paper and Supplementary Appendix D)

The Gauss procedures corresponding to the financial and macroeconomic
applications of Section 6 of BKP 2021 main paper can be found in
Procedures\Empirics. These are:

File: "aFS_finance.prg"
File: "aFS_macro.prg"


Data Description:

Subsection 6.1: Identifying risk factors in asset pricing models

The S&P500 data (345 xls files for returns (SPi.xls, for
i=1,2,...,345) plus 2 files that include risk factors (Mkt_RF2.xls)
and interest rate (RF.xls) data) can be found in Procedures\Empirics.
These data read into the Gauss file: "aFS_finance.prg"


Subsection 6.2: Stength of common macroeconomic shocks

The macroeconomic data (FRED_QSWf.xls) can be found in
Procedures\Empirics. The raw data, which include both high-level
economic and financial aggregates as well as disaggregated components,
can be found on the Federal Reserve Bank of St Louis website at:
https://research.stlouisfed.org/econ/mccracken/static.html. The data
in file: "FRED_QSWf.xls" read into the Gauss file: "aFS_macro.prg"


Output:

Output from "aFS_finance.prg" for the financial empirical application
of Sub-section 6.1 of BKP 2021 paper can be found in Results\Empirics.
All results and further computations can be found in file:
"FS_empirics_tables_figures.xlsx". Each sheet is named after the 
table or figure in the main BKP 2021 paper or Supplementary Appendix D
that the results correspond to.

Output from "aFS_macro.prg" corresponds directly to the content of
Table 5 of BKP2021 main paper.


Please address any questions to:

Natalia Bailey
Department of Econometrics and Business Statistics,
Monash University, Melbourne, Australia
Email: natalia.bailey [AT] monash.edu