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bonferroni-type tests for return predictability with possibly trending predictors (replication data)

Data and Gauss programs to run tests for predictability outlined in the paper "Bonferroni-type tests for return predictability with possibly trending predictors" by Robert Taylor, Sam Astill, Dave Harvey and Steve Leybourne (Journal of Applied Econometrics, forthcoming), currently setup to run the empirical application.

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Taylor, Robert; Astill, Sam; Harvey, Dave; Leybourne, Steve (2024): Bonferroni-type tests for return predictability with possibly trending predictors (replication data). Version: 1. Journal of Applied Econometrics. Dataset. http://dx.doi.org/10.15456/jae.2024229.0911462340

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