Ralf Becker and Denise R. Osborn, "Weighted Smooth Transition Regressions", Journal of Applied Econometrics, Vol. 27, No. 5, 2012, pp. 795-811. The file wstr-files.zip contains five files, all of which are ASCII (plain text) files in DOS format. Unix/Linux users should use "unzip -a". ukgdp.txt: Text file with quarterly UK GDP data, Q1 1955 to Q2 2006, 206 observations ukintrates.txt: Text file with UK interest rate data Column 1: 3 months Tbill rate Column 2: 10 year Govt securities Jan 1960 to Oct 2006 (monthly data) 562 observations The code is written in GAUSS (9.0.3). Three program files are provided. ncstar_proc_ex.src: File that contains procedures to run NCSTR models (used in fore_ncstar_ysl_mth.g) fore_ncstar_ysl_mth.g: Code to compute the NCSTR forecasts for empirical application. It uses the cmlmt Optimisation toolbox. Find c:\YOURPATH and replace with the path in which your files are saved. forecomp_ysl_opt_mth.g: Code to compute all but NCSTR model forecasts for empirical application, uses the cml Optimisation toolbox. Find c:\YOURPATH and replace with the path in which your files are saved.