Douglas J. Hodgson, "Adaptive Estimation of Cointegrated Models:
Simulation Evidence and an Application to the Forward Exchange Market",
Journal of Applied Econometrics, Vol. 14, No. 6, 1999, pp. 627-650.

The file hodgson.zip contains the following files, which are in DOS format.
Unix users should use "unzip -a" to extract them.

adt1.src  
This is a GAUSS file containing the program for the implementation of the
adaptive estimation procedure in the triangular model. It is commented
throughout.

adt2.src 
This is a GAUSS file containing the program for the implementation of the
adaptive estimation procedure in the ECM. It is commented throughout.

fmlad.src  
This is a GAUSS file implementing the FM-LAD estimator of Phillips (1995)
using a Bartlett kernel.

cdxr1.data This file contains the daily exchange rate data. It has five
columns. The second column contains the 90-day Canada-U.S. noon forward
exchange rate, with the first column containing the date on which this rate
prevailed. The third column contains the relevant spot rate, led by
approximately three months, with the exact date on which the rate prevailed
being given in the fourth column. Finally, the fifth column contains the
spot exchange rate used in the empirical analysis. I constructed this series
by matching up, day by day, the spot rate exactly corresponding to the
forward rate given in column 1. In other words, for each forward rate in
column 1, I determined the exact date on which the contract would be
delivered, and entered the spot rate prevailing on that date in column 5.
The exact date of delivery was determined following the procedure described
in B. Cornell, 1989, "The impact of data errors on measurement of the
foreign exchange risk premium", J. Int. Money & Fin., 8:147-157 and G.
Bekaert and R. Hodrick, 1993, "On biases in the measurement of foreign
exchange risk premiums", JIMF, 12:115-138.