This document describes the replication files for "Phillips Curve Inflation Forecasts," By James H. Stock and Mark W. Watson, May 2008.

All Calculations are carried out using GAUSS.  (Gauss programs are labeled *.gss and Gauss procedures are labeled *.prc).

@ --------------------------------- DATA --------------------------------------@
Data are in the file ..\data\bfed.xls


@ --------------------------------- Calculations/figures/tables/ etc. --------------------------------------@

Programs:

Univariate Forecasts:
 (1) infl_uc_svol_1.gss:  This program calculates estimates from the UC-SV model that are used in the forecasting programs.
 (2) univariate_oos_forecasts.gss: This program calculates the various univariate forecasts.
 (3) ar_24_iterated_con_x.gss: for (x=1-5) This program computes iterated AR(24) forecasts for model with a constant term for the 5 different inflation measures. There is one version of the program for each inflation measure.
 (4) ar_24_iterated_nocon_x.gss: for (x=1-5) This program computes iterated AR(24) forecasts for model with no constant term for the 5 different inflation measures. There is one version of the program for each inflation measure.
 
Single Predictor ADL Forecasts:
 (1) multivariate_oos_forecasts.gss: This program calculaties the various ADL forecasts.

Triangle Models:
  for X=1-5 (different inflation measures)
  (1) Triangle_iterated_conn_z_x.gss:  Constant Nairu with z controls
  (2) Triangle_iterated_tvn_z_x.gss:  TV Nairu with z controls
  (3) Triangle_iterated_conn_noz_x.gss:  Constant Nairu excluding z controls
  (4) Triangle_iterated_tvn_noz_x.gss:  TV Nairu excluding z controls
  
Combined Forecasts
  (1) Combined_forecasts.gss
 
Results Reported in Paper
 (1) Tables 1-5: rmse_table.gss
 (2) Rolling RMSEs for the various forecasts: NP_RMSE.gss
 (3) Figure 1: Figure_1.gss
 (4) Figure 2: np_rmse_graph_figure2.gss
 (5) Figure 3: fcst_graph_figure3.gss
 (6) Figure 4: np_rmse_graph_figure4.gss
 (7) Figure 5: np_rmse_graph_figure5.gss 
 (7) Figure 6: np_rmse_graph_figure6.gss 
 (8) Figures 7-11: np_rmse_graph_figure7.gss 
 (9) Figure 12: Figure_12.gss
 (10) Figure 13-14: Figure13_14.gss
 (11) Figures 15-17: Figure15_17.gss