Replication files for 

Has Inflation Become Harder to Forecast?

by James Stock and Mark Watson, jmcb, 2007

THIS FILE CONTAINS THE CORRECTED VERSION OF THE UC-SV PROGRAMS -- UPDATED APRIL, 29, 2007


All GAUSS programs are in ..\gss\ 
    Gauss programs have a suffix ".GSS"
    Gauss procedures have a suffix ".PRC"
    Note: MLE estimates are computed using the GAUSS optimizer module MAXLIK
    
All RATS programs are in ..\rts\
    RATS programs have ".RTS" suffix



Data:
(1) Data Series are contained in ...\data\qepd.xls


Background Calculations:
(1) Univariate pseudo-oos forecasts (excluding NonGaussian Filter) are computed in 
    univariate_oos_forecasts.gss
    
(2) Multivariate pseudo-oos forecasts summarized in table 1 (+ some others) are computed in 
    multivariate_oos_forecasts.gss
    
(3) The univariate NGFilter results are computed in 
    uc_ngfilt_frc.gss

(4) The Univariate NG Smoothed results are computed in 
    uc_ngfilt.gss
    
(5) The temporally aggregated MA(2) coefficients corresponding for the Nelson-Schwert (1977) monthly MA(1) model are computed in NS_MA.GSS


Figures:

Figure 1: Figure1.gss
Figure 2: Figure2.gss
Figure 3: Figure3.gss
Figure 4: Figure4.gss
Figures 5-7: Computed in Figure5_7.gss
Figure 8: This is plotted in VAR.GSS using pce_core and x=du;
Figure 9: Figure9.gss


Tables:

Table 1:  Results are computed in Table1.gss

Table 2:  Second Moments Results are computed in Table2.rts
          Large AR Roots CI computed in Table2_AR_root.gss         

Table 3:  Results are computed in Table3.gss.
          Results for panels c and d are computed in Table3_cd.rts
          
Table 4:  Point Estimates are computed in Table4.gss
          MC draws for SE calculations are computed in table4_mc.gss
          Point Estimates and SES are computes in Table4_se_table.gss

Table 5:  Results for panels a, b and f are computed in Table5_a_b_f.gss
          Results for panel g are computed in Table5_g.gss
          Results for panels c and d are computed in Table5_cd.rts
          ADF Tests for panel e from Table5_adf.rts, CIs from Table5_e.gss
          
Table 6:  Regressions are run in Table6.rts, where many tests are constructed
          Remaining tests (shown in panel (ii) for the constrained model are
           computed in Table6.gss
          

