
Replication files for 

A Comparison of Direct and Iterated Multstep AR Methods for Forecasting Macroeconomic Time Series

by Massiniliano Marcellino, James H. Stock, and Mark W. Watson

February 2004 (Revised April 2005)

All of the calculations, except those in Table 4, were carried out using programs written in GAUSS.  (We used verison 6.0, but these programs should run on earlier versions.)  RATS was used to estimate the ARMA models reported in Table 4.


1. Data
  All data series are in the ..\data\ subdirectory.
  Series listed as (AC) in the data appendix were computed using data1.gss in this subdirectory.

2. Univariate Forecasting Results
  
  A. All forecasts are constructed in 
  	f_pow.gss   (iterated forecasts)
  	f_proj.gss  (direct forecasts)
 
  B. Parametric Bootstrap Simulations
      (i) Estimating AR Models and Factor Structure for errors
        mc_pars_i1.gss  (I1 version of model ... reported in paper)
        mc_pars_i2.gss  (I2 version of model ... reported in appendix)
        
      (ii) Monte Carlo Simulations
        mc_rmse_4_i1.gss  (AR4, I1 dataset)
        mc_rmse_12_il.gss (AR12 I1 dataset)
        mc_rmse_aic_il.gss (aic I1 dataset)        
        mc_rmse_bic_il.gss (bic I1 dataset)
        mc_rmse_4_i2.gss  (AR4, I2 dataset)
        mc_rmse_12_i2.gss (AR12 I2 dataset)
        mc_rmse_aic_i2.gss (aic I2 dataset)        
        mc_rmse_bic_i2.gss (bic I2 dataset)
        
3.  Bivariate Forecasting Results

  A. Models are selected in bivmod_sel.gss
  
  B. Forecasting resutls ...
    f_pow.gss   (iterated forecasts)
  	f_proj.gss  (direct forecasts)      
        

4. Tables
	Table1&2_i1.gss  (Tables 1 and 2 in paper)
	Table3_i1.gss    (I1 results for Table 3 in the paper)
	Table4:  Rewrite Data ... table4_data.gss
	         Calculations ... table4.rts (in ..\rts directory)
	Table5.gss (Table 5 Results ... I(1) Prices)
	Table6.gss (Table 6 Results ... I(1) Prices)
	
5. Extra Appendix Tables	
	Table1&2_i2.gss  (Tables 1 and 2 in appendix)
	Table3_i2.gss    (I2 results for Table 3)
	Table5_i2.gss (Table 5 Results ... I(2) Prices)
	Table6_i2.gss (Table 6 Results ... I(2) Prices)	         
