H. M. Anderson, G. Athanasopoulos, and F. Vahid, "Nonlinear Autoregressive Leading Indicator Models of Output in G-7 Countries", Journal of Applied Econometrics, Vol. 22, No. 1, 2007, 63-87. The file aav-data.zip contains 7 ASCII files, in DOS format, one for each of the G7 countries. Each file contains three columns: date, growth rate, and the spread. The last row of each file contains the names of variables. Data sources are explained in the data appendix of the paper. The file aav-progs.zip contains the programs that were used for the analysis of UK data. Similar programs were used to analyse data for all other countries. As is explained in the paper, the MSVAR package in OX is needed for the estimation of MSVAR models. Also, as explained in the paper, the GAUSS procedures of Harding and Pagan were used to calculate the characteristics of cycles generated from each model. The estimation of linear models is straightforward, so we have not included the programs that we used for estimating linear models. Also, the programs for estimating the break point in an autoregressive model and programs for identifying the lag order of each model are straightforward, and hence we have not included them. All programs that are not included here are available upon request. The programs, which are all ASCII files in DOS format, are as follows: ukeventn.pgm: GAUSS program to generate the indicators for events A and B using the actual growth rate series. ukRWprN.pgm: GAUSS program to generate predicted probabilities of events A and B from the random walk model. ukarbprn.pgm: GAUSS program to generate predicted probabilities of events A and B from the univariate AR model with one break. ukvarprn.pgm: GAUSS program to generate predicted probabilities of events A and B from the VAR model. ukstartest.pgm: GAUSS program to compute test statistics for the null of linearity against STAR alternatives. ukgnp00.pgm: GAUSS program to estimate a nonlinear model for the growth rate, using three lags of growth and spread as explanatory variables. ukgnp01.pgm: GAUSS program to estimate the final nonlinear model for the UK growth. This is similar to ukgnp00.pgm, but the insignificant explanatory variables have been removed one at a time. uknonprN.pgm: GAUSS program to generate the predicted probabilities of events A and B from the estimated bivariate STAR model. ukbinarlicycles.pgm: GAUSS program to analyze the characteristics of cycles generated by the estimated bivariate STAR model. It needs the GAUSS procedures written by Harding and Pagan, which are dowloadable from their web sites. ukMSIAH2VAR2.ox: OX program using MSVAR package to estimate an MSVAR(2) model. ukMSVARprN.pgm: GAUSS program to generate predicted probabilities of events A and B from the estimated MSVAR model. qpslps.prg: An EVIEWS program that calculates quadratic and logarithmic probability scores. It runs in EVIEWS 4.0. It does not run in EVIEWS 5.