This data appendix consists of three files:

excess.dta (data set)
excess.do (codes for all computations except Bayesian model averaging)
excess.R (codes for Bayesian model averaging)

You will need R and Stata to open and run the files. The authors used R 3.4.3 and Stata 15.1 on Windows 10.

First run the Stata do-file (excess.do), then run the R file (excess.R).

Expected computation time: 9 hours.