Michael P. Clements and David I. Harvey, "Encompassing Tests and Probability
Forecasts", Journal of Applied Econometrics, Vol. 25, No. 6, 2010, pp. 
1028-1062.

All files are ASCII files in DOS format. They are zipped in the file
ch-files.zip. Unix/Linux users should use "unzip -a".

The file mpc_dih_emp.prg contains a Gauss program to generate the results
reported in tables 7 and 8 of the paper, as procedures to carry out the
forecast encompassing tests for probability forecasts described in the
paper. The data on the recession indicator, the interest rate spread, and
the oil price variable, are within the same file.  

The second set of empirical results in the paper uses the Survey
of Professional Forecasters (SPF) probabilities of declines in real output.
The data are contained in two ASCII files, which have a common format.

1)Dataset table9a.txt contains the SPF probability of decline data
that was used to generate the results in Table 9a.
It is an ASCII file, where `.' denotes a missing value. 
1st row contains respondent identifier,                                     
rows 2:147 1 qtr ahead forecasts of 69:1 to 05:2 (made 68:4 to 05:1).        
The last row gives the number of forecasts made by each respondent.
1st col contains forecasts of respondent 84,
2nd column respondent 65, 3rd 70, 4th 20, 5th 82,
and the last column is the average over all SPF respondents
  
2)Dataset table9b.txt contains the SPF probability of decline data
that was used to generate the results in Table 9b.
It is an ASCII file, where `.' denotes a missing value. 
1st row contains respondent identifier,                                     
rows 2:147 4 qtr ahead forecasts of 69:4 to 06:1 (made 68:4 to 05:1).       
The last row gives the number of forecasts made by each respondent.
1st col contains forecasts of respondent 84,
2nd column respondent 65, 3rd 70, 4th 20, 5th 82, 
and the last column is the average over all SPF respondents

The results reported in Table 9 of the paper can be obtained using this data
together with the procedures supplied in mpc_dih_emp.prg.