Hector M. Nunez and Jesus Otero, "A One Covariate at a Time, Multiple
Testing Approach to Variable Selection in High-Dimensional Linear
Regression Models: A Replication in a Narrow Sense", Journal of
Applied Econometrics, Vol. 36, No. 6, 2021, pp 833-841.

MAIN INSTRUCTIONS

Follow these instructions to replicate the OCMT results in Chudik,
Kapetanios & Pesaran (2018, Econometrica), henceforth CKP.

The replication script is designed for Stata, and was tested in
versions 14SE, 16.1SE and 16.1MP.

You must also have installed the user-written Stata command "regsave".
If you do not have it, please use "ssc install regsave"

Please install our commands "baing" and "ocmt", and associated help
files, using:

  ssc install baing
  ssc install ocmt

These commands will install the following four files in the directory
where you have your ado files:

  baing.ado
  baing.sthlp
  ocmt.ado
  ocmt.sthlp

Please create a directory where you will have the data and results of
the replication exercise. For example, Hector and Jesus respectively
use:

  C:\Users\hecto\Dropbox (CIDE A.C.)\OCMT
  D:\JESUS\Jgo\OCMT

In this directory, you must have the raw data files provided by CKP:

  (1) empir_m.txt
  (2) cpi.txt
  (3) empir_q.txt
  (4) gdp.txt

We downloaded these files from https://doi.org/10.3982/ECTA14176

Files (1) and (2) contain monthly data, while files (3) and (4) contain
quarterly data.

You should also copy the txt file SWnames.txt, which contains the
names of the variables in files (1), (2), (3) and (4), as taken from
Stock and Watson (2002, JBES)
  
Lastly, please also copy the scripts:

  Data_management.do
  Data_analysis.do

Before running "Data_management.do" and "Data_analysis.do", please
change the line 12 (shown below) in each script to match the directory
where you will have the data and results of the replication exercise

  cd "D:\JESUS\Jgo\OCMT"

The file "Data_management.do" creates the *.dta version of the files
(1), (2), (3) and (4), which are then merged to create the Stata data
file:

  database.dta

The file "Data_management.do" also creates the *.dta version of the
file SWnames.txt, with the names of the variables.

The file "Data_analysis.do" replicates the OCMT results reported by
CKP (2018) in their Table III.

In summary, the following seven files must be in your working
directory:

  (1) empir_m.txt
  (2) cpi.txt
  (3) empir_q.txt
  (4) gdp.txt
  (5) SWnames.txt
  (6) Data_management.do
  (7) Data_analysis.do

These files are zipped in the file no-files.zip. They are all ASCII
files in DOS format. Unix/Linux users should use "unzip -a".