Documentation for Replication Files for

"Vector Autoregressions"

by James H. Stock and Mark W. Watson

Journal of Economic Perspectives, Fall 2001

Table 1:  Results are produced in JEP1.RTS

Figure 1: Results are produced in JEP1.RTS and the figures are produced in FIGURE1.GSS

Table 2:  VAR and AR forecasts are produced in JEP_FCST.RTS
          RW Forecasts are produced in JEP_RW.rts
          (Note the parameter NPH in these programs
           determines the forecast horizon.)
           
Figure 2: The Structural VARs are estimated in JEP2.RTS and the graph
          is formed in figure2.gss.  The foreward looking Taylor Rule
          requires some coefficients associated with forecasts of
          inflation and unemployment.  These coefficients are constructed
          in COMP.gss (a GAUSS program).
           