Luiz Renato Lima and Lucas Godeiro, "Equity Premium Prediction: Attention is All You Need, Journal of Applied Econometrics, forthcoming. The file lg-appendix.zip contains the on-line appendix and the files use to create it. The file lg-codes-data contains all code and data files. 1- You can find the excel files in the folder "Data". The file PredictorData2019.xlsx contains the S&P 500 and the Economic Predictors data. The file fred_md201901.cvs contains the Fred MD dataset. 2- Open as an R project and run the file main_script.R. This file is commented. Any others file seen in the folder are auxiliary functions to the main.script file. Please address any questions to: Luiz Renato Lima Department of Econmics, The University of Tennessee, United States Email: llima [AT] utk.edu