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* Consumption, Aggregate Wealth and Expected Stock Returns: a Quantile Cointegration Approach  *
*                                                                                      	       *
* Author: Ricardo Quineche (Ricardo Quineche-Uribe)					       *
* email: rquineche@uchicago.edu								       *
*                                                                                              *
* Data and Codes									       *
*											       *
* August, 2021										       *
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* Requirements: Matlab 2019a (and later), Gauss 20 (and later), Microsoft Excel 2010 (and later)

* Data: Data_Quineche_2021

* Code:

* Please run QADF_Quineche_2021.gss to obtain the test statistic developed by Koenker and 
* Xiao (2004). This code requires you to install tspdlib library, which was written by Saban 
* Nazlioglu. For further on this, plese refer to https://github.com/aptech/tspdlib

* Please run cusum_cay_Quineche_2021 to obtain for each quantile the estimated coefficients 
* and the CUSUM test statistic. The cusum_cay.m is an addaptation of the 
* cusum_quantile_interest.m that was created by Nina Kuriyama based on Kuriyama (2016). 
* For further on this, please refer to 
* https://www.degruyter.com/document/doi/10.1515/snde-2013-0107/html

* All other m-files are subfiles.


						       