Natalia Bailey, George Kapetanios, and M. Hashem Pesaran (2015), "Exponent of Cross-sectional Dependence: Estimation and Inference", Journal of Applied Econometrics, Vol. 31, No. 6, 2016, pp. 929-960. Monte Carlo simulation results (Section 4 of BKP paper and Supplementary Appendix VI) The following files are zipped in the file bkp-simulations.zip. Most of them are ASCII files in DOS format, but there is also one .xlsx file. File: "sim_expA(A2).prg" Bias, RMSE, Size and Power (+ and -) of two bias adjusted exponents of cross-sectional dependence (alpha) for Experiment A: Serially uncorrelated factors. Sub-procedure "code_ord_holm.src" is read into the main file for the computation of alpha. Section "Output" of file sim_expA(A2).prg displays the contents of Table A-B left in BKP and Table A2 in Supplementary Appendix VI of BKP. File: "sim_expA(A1).prg" Bias, RMSE, Size and Power (+ and -) of two bias unadjusted exponents of cross-sectional dependence (alpha) for Experiment A: Serially uncorrelated factors (mu=1). Sub-procedure "code_ord_holm.src" is read into the main file for the computation of alpha. Section "Output" of file sim_expA(A1).prg displays the contents of Table A1 in Supplementary Appendix VI of BKP. File: "sim_expB.prg" Bias, RMSE, Size and Power (+ and -) of two bias adjusted exponents of cross-sectional dependence (alpha) for Experiment B: Serially correlated factors. Sub-procedure "code_ord_holm.src" is read into the main file for the computation of alpha. Section "Output" of file sim_expB.prg displays the contents of Table A-B right in BKP and Table A3 in Supplementary Appendix VI of BKP. File: "sim_expC.prg" Bias, RMSE, Size and Power (+ and -) of two bias adjusted exponents of cross-sectional dependence (alpha) for Experiment C: Non-normally idiosyncratic errors. Sub-procedure "code_ord_holm.src" is read into the main file for the computation of alpha. Section "Output" of file sim_expC.prg displays the contents of Table C-D left in BKP and Table A4 in Supplementary Appendix VI of BKP. File: "sim_expD(A5).prg" Bias, RMSE, Size and Power (+ and -) of two bias adjusted exponents of cross-sectional dependence (alpha) for Experiment D: Spatially dependent idiosyncratic errors (theta=0.2). Sub-procedure "code_ord_holm.src" is read into the main file for the computation of alpha. Section "Output" of file sim_expD(A5).prg displays the contents of Table C-D right in BKP and Table A5 in Supplementary Appendix VI of BKP. File: "sim_expD(A6).prg" Bias, RMSE, Size and Power (+ and -) of two bias adjusted exponents of cross-sectional dependence (alpha) for Experiment D: Spatially dependent idiosyncratic errors (theta=0.4). Sub-procedure "code_ord_holm.src" is read into the main file for the computation of alpha. Section "Output" of file sim_expD(A6).prg displays the contents of Table A6 in Supplementary Appendix VI of BKP. File: "sim_expA(A7).prg" Bias and RMSE of two bias adjusted exponents of cross-sectional dependence (alpha) for Experiment A: Serially uncorrelated factors (a=a2). Sub-procedure "code_ord_holm.src" is read into the main file for the computation of alpha. Section "Output" of file sim_expA(A7).prg displays the contents of Table A7 in Supplementary Appendix VI of BKP. File: "BKP_tables_mc.xlsx" Outputs for all experiments in BKP are collected and coverted into tables A-B and C-D in BKP and tables A1-A7 in Supplementary Appendix VI of BKP. Empirical Applications (Section 5 of BKP paper and Supplementary Appendix VII) The following files are zipped in the file bkp-empirics.zip. Most of them are ASCII files in DOS format, but there are also files in .xls and .xlsx formats. File: "BKP_macro_empirics.prg" Data Description Subsection 5.1: Real output growth, inflation, rate of change in real equity prices and exchange rates from GVAR datasets in Cesa-Bianchi, A., M. H. Pesaran, A. Rebucci, and T. Xu (2012): China's emergence in the world economy and business cycles in latin america. Economia, Journal of Latin American and Carribean Economic Association 12 (2), 1-75. This version of the GVAR data set can be downloaded from: https://sites.google.com/site/gvarmodelling/data It is not necessary to do this for the selection of GVAR variables depicted in the BKP paper, because the needed data are included in the *qq.txt files listed below. Subsection 5.2: Key macroeconomic variables in the datasets used in: Eklund, J., G. Kapetanios and S. Price (2010). Forecasting in the presence of recent structural change. Working paper 406, Bank of England. The data used in this study are read into the main Gauss file, BKP_macro_empirics.prg, in section "Input Data". The data files are: gdp_qq.txt dp_qq.txt deq_qq.txt dep_qq.txt ukmacro.txt usmacro.txt These are all ASCII files in DOS format. Estimation Preliminary data preparation is implemented in section "Data Preparation". A number of sub-procedures are read in for this purpose. These are appended to the file in section "Procedures". Estimation of the bias-adjusted exponent of cross-sectional dependence for each data set is implemented in the file BKP_macro_empirics.prg, section "Exponent of cross-sectional dependence". Sub-procedure "code_ord_holm.src" is read into the main file for this purpose. Output Section "Output" of file BKP_macro_empirics.prg displays the CD and alpha estimates (with confidence bands) statistics given in Sections 5.1 and 5.2 of our paper. It includes the contents of Table 1 of Subsection 5.1 and Table 2 of Subsection 5.2 of our paper. File: "BKP_S&P_empirics.prg" Data Description Subsection 5.3: Excess returns of the securities included in the Standard & Poor 500 (S&P500) index of large cap U.S. equities market. Description of these data is given in "S&P_data_Readme_file.pdf". The S&P500 data (265 files for returns plus 2 files that include market and interest rate data) are contained in the file s-and-p-500-returns.zip which was downloaded from: http://www.econ.cam.ac.uk/CSDPDM/data.html The data used in this study read into the main Gauss file: BKP_S&P_empirics.prg, section Input Data, sequentially via xls format. Estimation Preliminary data preparation is implemented in section "Data Preparation". A number of sub-procedures read in for this purpose. These are appended to the file in section "Procedures". Estimation of the rolling bias adjusted exponents of cross-sectional dependence for each data set is implemented in file BKP_S&P_empirics.prg, section "Exponent of cross-sectional dependence". Sub-procedure "code_ord_holm.src" is read into the main file for this purpose. Output Section "Output" of file BKP_S&P_empirics.prg displays the average pairwise correlations, direct alpha estimates and bias adjusted alpha estimates (with confidence bands) statistics given in Section 5.3 of our paper. It includes the contents of Figures 1, 2, 3 and 4 of Subsection 5.3 of BKP and Figures 5 and 6 of the Supplementary Appendix VII of our paper. File: "BKP_tables_graphs_empirics.xlsx" Outputs for all empirical applications in BKP are collected and coverted into tables 1 and 2, and figures 1-4 in BKP and figures 5-6 in Supplementary Appendix VII of BKP. Please address any questions to: Natalia Bailey School of Economics and Finance, Queen Mary, University of London