Michael P. Clements and David F. Hendry, "Forecasting in Cointegrated
Systems", Journal of Applied Econometrics, Vol. 10, No. 2, 1995, pp.
127-146. 

Two files are supplied.

The data for the simulation results reported in Tables 1 and 3 can be
generated from the GAUSS program "mpc_dfh.prg".  (The data in Table 2
are calculated from Table 1).

The two series on which the empirical illustration in Section 8 is based
are Rn and v, made available in the human-readable file "sect8.dat".

Both these files are contained in the file mpc_dfh.zip.