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README_Stata.txt
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for empirical parts of Heer/Maußner/Süssmuth "Cyclical Asset Returns in the ... Sector"
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-> All programs can be run with Stata (StataCorp) version 12 (v12) or higher
-> They have been checked with Stata v13 and v12 using MS Windows as operating system


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The zip-file HMS_emp.zip contains (summary):
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-> The 3 core do-files (Stata program code)
-> 2 txt format files containing data
-> 1 dta file (Stata data format)
-> this readme.txt




How to operate the do-files (programs):
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ep6_0717.do
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- Requires as data-input: ep5.txt

- Performs the tests described --and in the form of p-values shown in Table 2.1-- at the bottom of Table 2.1.

- Note: calculates quarterly figures that can be easily transformed to annualized measures

- Computation time: several seconds



predictability2_tau4.do
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- Requires as data-input: empdata.dta

- Performs everything required for/shown in Table 2.3, Table 2.4, Table 2.5

- Notes (to screen output):

log price dividend ratio (by sector, i.e. Inv/Con/Agg) = lnpdstd(_cap/_cons/_dj)
EP (by ...)  = ep(_cap/_cons/_dj)
RFR          = gr_bond_r
real ER      = gr(_cap/_cons/_dj)_r

Horizons are defined by extensions
_f1_f4:  for H = 4
_f1_f8:  for H = 8
_f1_f16: for H = 16

- Computation time: about 30-60 sec



sim2017_march_0717.do
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- Requires as data-input: Car_4_Final(1)_Returns_e.txt

- Performs all log-PD ratio predictions (simulation-based) reported in schedules/distributions of Figure 4.5 and Figure 4.6

- Graphical output as pdf is produced and saved (altogether 6 files)

- Computation time: about 4-5 hours (for core-i7 processor, 8GB RAM)




Note: For other descriptive results of the paper (based on basic operations like multiplications/corrtelations) code was/is not necessary.