Double Robust Inference for Continuous Updating GMM

Overview
The codes and data in the replication package are for replicating Figures 1-12, Table I in the paper “Double Robust Inference for Continuous Updating GMM” and Figures A1-A6 in the Online Appendix to the paper. Thus, the replication package reproduces:  All tables and figures in the paper and its online appendix.
Computational requirements (software and hardware)
•
MATLAB (codes were run with MATLAB R2023a).
•
Dell Latitude 5501 Notebook (codes were run with Windows 10), or MacBook Pro (codes were run with macOS Sonoma).
Instructions to replicators
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Step 1: Save all the codes and data to the same folder.
•
Step 2: Run “master_file.m” in MATLAB for replication. The resulting figures and table will be saved to the “output” folder, using the same names as in the paper/appendix.
Content of the replication package
Figure/Table
Expected Running Time
Comments
master_file.m
200 minutes
A master file that generates all results.
Figure_1_2.m
1 second
Simulated contour lines might slightly differ.
Figure_3_4_5_6.m
12 seconds
Figure_7.m
5 minutes
Data in “app_LLM.xls”
Figure_8.m
15 minutes
Data in “app_LLM_He.xls”
Figure_9.m
3 minutes
Data in “app_LLM.xls”
Figure_10.m
65 minutes
Figure_11.m
10 minutes
Data in “data_KZ2019.xls”
Figure_12.m
1 second
Data in “data_CRRA.xls”
Table_I.m
65 minutes
Data in “app_LLM.xls”, “app_LLM_He.xls”
Output is also saved in “output/Table_I.txt”.
Figure_A1.m
1 minute
Figure_A2.m
10 minutes
Data in “data_KZ2019.xls”
Figure_A3.m
4 minutes
Figure_A4.m
15 minutes
Data in “data_CRRA.xls”
Figure_A5.m
1 second
Data in “school1.dat” “school2.dat” “school3.dat”
Figure_A6.m
1 second
Simulated contour lines might slightly differ.
Notes: The other programs in the package are used by the programs listed above.