Barbara Rossi and Tatevik Sekhposyan, "Forecast Rationality Tests in the Presence of Instabilities, With Applications to Federal Reserve and Survey Forecasts", Journal of Applied Econometrics, Vol. 31, No. 3, 2016, pp. 507-532. All data are in the file rs-data.txt, which is an ASCII file in DOS format. It is zipped in the file rs-data.zip. Unix/Linux users should use "unzip -a". Description of data Greenbook (columns with header "GB") is from the Philadelphia Fed at http://www.philadelphiafed.org/research-and-data/real-time-center/greenbook-data/philadelphia-data-set.cfm Blue Chip (columns with header "BCEI") - this is not a public dataset and thus the columns under the header are empty Survey of Professional Forecasters (columns with header "SPF") is from the Philadelphia Fed at http://www.philadelphiafed.org/research-and-data/real-time-center/survey-of-professional-forecasters/historical-data/median-forecasts.cfm realization (columns with header "rd-pi")- this is the second revision of inflation calculated from the real time data of the Philadelphia Fed. The data are available at http://www.philadelphiafed.org/research-and-data/real-time-center/real-time-data/data-files/P/ We calculate the annualized growth rates from the levels: growth rate of 1968:IV will be taken from the 1969:I vintage as 100((PGDP68:IV/PGDP68:III)^4-1) rows under the label of "quarter" indicate the forecast horizon, h>=0 ***** The file rs-codes.zip contains a large number of MatLab programs and related files. See the various readme files within it. Contents of rs-codes.zip: .: total 40 drwx------ 5 jgm jgm 4096 Oct 31 18:52 CriticalValues drwx------ 2 jgm jgm 4096 Nov 25 10:19 Empirical -rw------- 1 jgm jgm 428 Nov 4 19:54 readme.txt drwx------ 2 jgm jgm 4096 Nov 4 13:01 RecursivePower drwx------ 2 jgm jgm 4096 Nov 4 13:01 RecursiveSize drwx------ 4 jgm jgm 4096 Oct 23 14:36 RollingSize ./CriticalValues: total 48 -rw------- 1 jgm jgm 1415 Oct 31 15:28 CvTableSurvey.m -rw------- 1 jgm jgm 3435 Oct 31 16:09 CvTableSurvey.out -rw------- 1 jgm jgm 683 Oct 31 18:50 readme.txt drwx------ 2 jgm jgm 4096 Oct 31 20:15 RecursiveCriticalValues drwx------ 2 jgm jgm 4096 Oct 31 18:49 RecursiveCriticalValuesRecursivem drwx------ 2 jgm jgm 4096 Oct 31 12:54 RollingCriticalValues ./CriticalValues/RecursiveCriticalValues: total 60 -rw------- 1 jgm jgm 934 Oct 31 14:01 CriticalValuesAlternative.m -rw------- 1 jgm jgm 1958 Oct 30 18:44 CriticalValuesTable.m -rw------- 1 jgm jgm 870 Oct 31 14:57 cvtable.m -rw------- 1 jgm jgm 1342 Oct 31 15:02 cvtable.out -rw------- 1 jgm jgm 991 Oct 25 18:46 RecWeights.m ./CriticalValues/RecursiveCriticalValuesRecursivem: total 48 -rw------- 1 jgm jgm 1403 Oct 31 18:51 CriticalValuesTableRecursivem.m -rw------- 1 jgm jgm 814 Oct 31 18:50 cvtable.m -rw------- 1 jgm jgm 214 Oct 31 01:15 cvtable.out -rw------- 1 jgm jgm 723 Oct 16 21:41 RecWeights.m ./CriticalValues/RollingCriticalValues: total 48 -rw------- 1 jgm jgm 1808 Oct 19 17:20 CriticalValuesTable.m -rw------- 1 jgm jgm 863 Nov 4 10:23 cvtable.m -rw------- 1 jgm jgm 1306 Oct 19 17:20 cvtable.out -rw------- 1 jgm jgm 1647 Oct 19 17:20 RollWeights.m ./Empirical: total 184 -rw------- 1 jgm jgm 101376 Nov 25 10:12 DataExtendedPublic.xlsx -rw------- 1 jgm jgm 4556 Nov 4 18:04 empiricalmain.m -rw------- 1 jgm jgm 3720 Nov 4 18:05 empiricalmainreg.m -rw------- 1 jgm jgm 2225 Nov 1 09:40 FluctuationRationalityRecNW.m -rw------- 1 jgm jgm 3044 Jun 20 2011 nwest.m -rw------- 1 jgm jgm 561 Oct 23 16:23 olsWaldtestNW.m -rw------- 1 jgm jgm 597 Nov 4 17:04 readme.txt ./RecursivePower: total 180 -rw------- 1 jgm jgm 934 Oct 31 14:01 CriticalValuesAlternative.m -rw------- 1 jgm jgm 1958 Oct 30 18:44 CriticalValuesTable.m -rw------- 1 jgm jgm 653 Oct 31 20:18 FluctuationRationalityRec.m -rw------- 1 jgm jgm 604 Oct 31 21:14 MCRecursivePowerEfficiencyDGP1.out -rw------- 1 jgm jgm 604 Oct 31 21:18 MCRecursivePowerEfficiencyDGP2.out -rw------- 1 jgm jgm 604 Oct 31 21:32 MCRecursivePowerEfficiencyDGP3.out -rw------- 1 jgm jgm 3039 Oct 31 21:29 MCRecursivePower.m -rw------- 1 jgm jgm 604 Oct 31 21:06 MCRecursivePowerMPEDGP1.out -rw------- 1 jgm jgm 604 Oct 31 20:39 MCRecursivePowerMPEDGP2.out -rw------- 1 jgm jgm 604 Oct 31 20:47 MCRecursivePowerMPEDGP3.out -rw------- 1 jgm jgm 350 Oct 31 20:19 olsttestt.m -rw------- 1 jgm jgm 527 Oct 30 16:38 olsWaldtest.m -rw------- 1 jgm jgm 1129 Nov 4 13:03 readme.txt -rw------- 1 jgm jgm 263 Oct 31 20:20 recserar.m -rw------- 1 jgm jgm 1020 Oct 31 20:21 RecWeights.m ./RecursiveSize: total 120 -rw------- 1 jgm jgm 934 Oct 31 14:01 CriticalValuesAlternative.m -rw------- 1 jgm jgm 1958 Oct 30 18:44 CriticalValuesTable.m -rw------- 1 jgm jgm 653 Oct 31 20:18 FluctuationRationalityRec.m -rw------- 1 jgm jgm 3037 Oct 31 23:21 MCrecursive.m -rw------- 1 jgm jgm 1125 Oct 31 23:28 MCRecursive.out -rw------- 1 jgm jgm 350 Oct 31 20:19 olsttestt.m -rw------- 1 jgm jgm 527 Oct 30 16:38 olsWaldtest.m -rw------- 1 jgm jgm 939 Nov 4 13:02 readme.txt -rw------- 1 jgm jgm 262 Nov 4 10:54 recserar.m -rw------- 1 jgm jgm 1020 Oct 31 20:21 RecWeights.m ./RollingSize: total 20 drwx------ 2 jgm jgm 4096 Oct 30 15:54 Efficiency drwx------ 2 jgm jgm 4096 Oct 30 15:30 MPE -rw------- 1 jgm jgm 739 Oct 30 15:29 readme.txt ./RollingSize/Efficiency: total 92 -rw------- 1 jgm jgm 4607 Oct 19 17:21 CriticalValuesGeneral.m -rw------- 1 jgm jgm 1791 Oct 19 17:21 CriticalValuesTable.m -rw------- 1 jgm jgm 5367 Oct 23 14:42 MCRollingGeneral.m -rw------- 1 jgm jgm 511 Oct 19 17:21 MCRollingSizeEfficiency.out -rw------- 1 jgm jgm 200 Oct 19 17:21 mmult.m -rw------- 1 jgm jgm 353 Oct 19 17:21 olsttestt.m -rw------- 1 jgm jgm 1650 Oct 19 17:21 RollWeights.m ./RollingSize/MPE: total 92 -rw------- 1 jgm jgm 4607 Oct 19 17:21 CriticalValuesGeneral.m -rw------- 1 jgm jgm 1793 Oct 19 17:21 CriticalValuesTable.m -rw------- 1 jgm jgm 5341 Oct 31 22:34 MCRollingGeneral.m -rw------- 1 jgm jgm 511 Oct 19 17:21 MCRollingSizeMPE.out -rw------- 1 jgm jgm 200 Oct 19 17:21 mmult.m -rw------- 1 jgm jgm 353 Oct 19 17:21 olsttestt.m -rw------- 1 jgm jgm 1650 Oct 19 17:21 RollWeights.m ***** There is also a technical appendix, rossi-sekhposyan-appendix.pdf