Replication file for "Forecasting Related Series" by Ulrich Mueller and Mark Watson, October 28, 2025

Data:
(1) State Employment: The state employment data are in the file StateEmployment.xlsx. The original data downloaded from FRED are in the file StateEmployment_FRED.xlsx

(2) IP Europe: The IP for the Euro-area countries are in the file IP_Europe_16.xsls. The original data downloaded from FRED are in the file IP_Country_Level.xsls. The program IPEurope_Data_1.m reads in the data and save a balanced panel of data in the file IP_Europe_Data.mat

(3) The PCE inflation data are in the matlab file pcomp_data_montly.mat. These data are computed using pcomp_data_monthly.m. That files reads in the price data (from p_pce_m59.xslx) and nominal pce quantities (from nom_pce_m59.xlsx) and carries out a variety of transformations. The raw data from NIPA are in NIPA_2_3_4.csv and NIPA_2_3_5.csv.


Analysis:
The forecasts from the various models are computed using Fortran. Description is given in the Fortran folder.


Matlab Programs
State Employment:
(1) AR Forecasts are computed in: ar_fcst_state_emp.m
(2) The 'common correlated effects' forecasts reported in Footnote 4 of the paper are compute in: gvar_fcst_state_emp.m


IP Europe
(1) AR Forecasts are computed in: ar_fcst_state_emp.m

PCE Inflation
(1) AR forecasts are computed in: ar_fcst_pced.m
(2) The 'Atkeson and Ohanian' forecasts discussed in footnote 6 are computed in: AO_fcst_pced.m
(3) The FRBNY-MCT Forecasts are computed in \FRBNY_MCT\Watson_Modification\watson_main.m ... Note .. this takes a long to run (more than 12 hours with a 10-core laptop). Set the parameter i_restart = 0 when you start it. You can then interrupt it (if necessary), and set i_restart = 1 to read the previous intermediate results.

Tables and Figures

Figure 1: state_emp_desc_statistics.m

Table 1: state_emp_desc_statistics.m

Table 2: poos_fcst_summary_state_emp.m

Table 3: poos_fcst_summary_state_emp.m

Figure 2: poos_fcst_summary_state_emp.m

Figure 3: prior_plots_Model1_Model2.m

Figure 4: prior_plots_Model3_nu.m

Figure 5: prior_plots_Model5_CommonVol.m

Table 4: Computed using Fortran program. See below.

Figure 6: Plot_Data_IP_PCE.m

Table 5 (panel (a)): These results are computed in poos_fcst_summary_state_emp.m, poos_fcst_summary_IP_Europe.m and poos_fcst_summary_PCE.m

Figure 7: RelRMSFE_3Datatsets.m

Footnote 6: AO forecasts, etc are summarized in poos_fcst_summary_PCE_MCT_RTS_Using_AO_as_Benchmark.m

Table 5 (panel (b)): Computed using Fortran program. See below.

Table 6: These results are computed in poos_fcst_summary_PCE_MCT_RTS.m

Figure 8: Plot_Data_EMP_IP_Incl_Covid.m

Table 7: poos_fcst_summary_state_emp.m and poos_fcst_summary_IP_Europe.m
(Change dates for 'first_fcst' and 'last_fcst')
