Joakim Westerlund, Hande Karabiyik, and Paresh Narayan, "Testing for
Predictability in Panels with General Predictors", Journal of Applied
Econometrics, Vo. 32, No. 3, 2017, pp. 554-574.

The file wkn-data.zip (4.8 mb) contains the folders:

  Codes
  Developed
  Emerging 
  Global
  DataExcel -- All data in excel format

The files in each of these folders are organized as follows:


"Codes" contains the following GAUSS programs:

Cdtest2: Contains the code for the cross-sectional dependence test
used in the paper

Endogeneity2: Contains the code for endogeneity test used in the paper

Fixedeffects2: Contains the code for the fixed effects estimator used
in the paper

Hjalmarsson2: Contains the code for Hjalmarsson's estimator used in the paper

Prediction2: Contains the code for the prediction test proposed in this paper

Unitroot2: Contains the code for the panel unit root test used in the paper


"Developed" contains the following data files:

DE_DPDP.txt: dividend price ratio of 20 countries over 296 months -
04/1988 - 11/2012

DE_DPER.txt: excess stock returns to be used with DE_DPDP

DE_EPEP.txt: earnings to price ratio of 21 countries over 297 months -
03/1988 - 11/2012

DE_EPER.txt: excess stock returns to be used with DE_EPEP

DE_SRSR.txt: short term interest rates of 22 countries over 300 months
- 03/1988 - 01/2013

DE_SREP.txt: excess stock returns to be used with DE_SRSR

DE_TSTS.txt: term spreads of 21 countries over 292 months - 03/1988 - 06/2012

DE_TSEP.txt: excess stock returns to be used with DE_TSSR


"Emerging" contains the following data files:

EM_DPDP.txt: dividend price ratio of 9 countries over 297 months -
03/1988 - 11/2012

EM_DPER.txt: excess stock returns to be used with EM_DPDP

EM_EPEP.txt: earnings to price ratio of 9 countries over 297 months - 
03/1988 - 11/2012

EM_EPER.txt: excess stock returns to be used with EM_EPEP

EM_SRSR.txt: short term interest rates of 9 countries over 300 months
- 03/1988 - 11/2012

EM_SREP.txt: excess stock returns to be used with EM_SRSR

EM_TSTS.txt: term spreads of 4 countries over 292 months - 03/1988 - 06/2012

EM_TSEP.txt: excess stock returns to be used with EM_TSSR


"Global" contains the following data files:

GL_DPDP.txt: dividend price ratio of 28 countries over 296 months -
04/1988 - 11/2012

GL_DPER.txt: excess stock returns to be used with GL_DPDP

GL_EPEP.txt: earnings to price ratio of 30 countries over 297 months -
03/1988 - 11/2012

GL_EPER.txt: excess stock returns to be used with GL_EPEP

GL_SRSR.txt: short term interest rates of 31 countries over 297 months
- 03/1988 - 11/2012

GL_SREP.txt: excess stock returns to be used with GL_SRSR

GL_TSTS.txt: term spreads of 24 countries over 292 months - 03/1988 - 06/2012

GL_TSEP.txt: excess stock returns to be used with GL_TSSR


Notes: 

With the exception of the files in DataExcel, all files are ASCII
files in DOS format. The list of the countries can be found in the
first rows of the data files. 

The data in each file are organized in such a way that a row has the
entries over time periods and a column has observations on countries.
Each file contains a TxN matrix.