This file describes replication materials for 

"Measuring Uncertainty about Long-Run Predictions"

by Ulrich Mueller and Mark Watson

Revised September 2015

Data: There are 5 Excel files in the "Data" subdirectory that contain all of the data used in the paper.

Programs:

The main program for computing the results shown in Tables 2, 5, and 6 and Appendix Figures B.1-B.14 are the matlab programs lr_main_xxx.m, where xxx = 

'quarterly'  (for the quarterly series, except returns)
'annual' (for the annual data)
'quarterly_returns_1926' (quarterly returns beginning in 1926)
'quarterly_returns_1947' (quarterly returns beginning in 1947)

The programs differ in the series that are used, calendar dates etc.

Notes:
(1) The programs use "Least Favorable Distributions and Critical Values" to compute the MN-Frequentist prediction sets.  These LDS and critical valuess are included in the 'matlab\mat' subdirectory.

(2) The program requires the covariance matrices "Sigma" for each value of (a,b,d).  

(a) These have been computed using numerical integration (see the appendix to the paper). Once computed, they are stored in the 'matlab\mat' subdirectory.


(4) The lr_main_xxx uses a few matlab "utility" programs that are included in the 'matlab\m_utilities' subdirectory


Other Results:

Figures 1 and 2: these are produced using figures_1_2.m

Monte Carlo Results Shown in Table 3:
  The experiments with p = 0 are run in 
    mc_break_1_p0_discrete.m
    mc_break_2_p0_discrete.m
    mc_vol_1_p0_discrete.m
    mc_vol_2_p0_discrete.m
    mc_ppt_p0.m
  The experemints with non-zero values of p are run in 
    mc_break_1_discrete.m
    mc_break_2_discrete.m
    mc_vol_1_discrete.m
    mc_vol_2_discrete.m
    mc_ppt.m
  The values of delta are calibrated as explained in Appendix A.9 and MC_Calibration.pdf. Programs used are
    calibrate_level_break.m
    calibrate_volatility_break_2.m

Table 4: POOS Results POOS calculations are carried out in lr_sp500.m and lr_tb3m.m and summary statistics are carried out in lr_sp500_summary.m and lr_tb3m_summary.m.

Table 1, Figure A.2, Table A.2 and Table A.3 and the  LFDs used to construct the MN sets and the "Sigma" matrices described in (2) were computed using a set of fortran programs that are contained in the Replication_LFD directory.  This directory includes its own ReadMe file.