Todd E. Clark and Michael W. McCracken, "Averaging Forecasts from VARs with Uncertain Instabilities", Journal of Applied Econometrics, Vol. 25, No. 1, 2010, pp. 5-29. This file describes the basic (1) data and (2) RATS program files used in the paper. The zip file cm-ascii.zip contains all needed files. They are all ASCII files in DOS format. Unix/Linux users should use "unzip -a". The programs can be run in whatever directory cm-ascii.zip has been unzipped (the data files will be in the same directory, which is what the provided programs require). The file cm-xls.zip contains corresponding Excel spreadsheets (same file names but with extensions of .xls instead of .prn) with the same contents and layout. These are binary files. ********** DATA FILES: ********** The following contain the various time series of data used in the article (all at the quarterly frequency), with rows corresponding to dates and columns to variables. file #obs #var routput.prn 236 161 poutput.prn 236 161 HPgaps.JAE.prn 236 161 Boardgaps.JAE.prn 236 161 rtcorePCE.prn 236 40 finaldata.prn 236 3 For those who may it find it more convenient, the archive includes corresponding Excel spreadsheets (same file names but with extensions of .xls instead of .prn) with the same contents and layout. The RATs programs call the data from the Excel files, but include commented-out sections for instead reading the data from text files. In all files, the date range is 1947:Q1 through 2005:Q4. Not all data series are available over this range; missing values are denoted NA in the text file. For coding simplicity, the programs read in data (with some observations missing) over the full time series range. Sources: The real-time vintages of real GDP/GNP and the GDP/GNP deflator/price index were obtained from the Federal Reserve Bank of Philadelphia's Real-Time Data Set for Macroeconomists. The CPI data were obtained from the website of the Bureau of Labor Statistics. The interest rates were obtained from the Board of Governor's FAME database. routput.prn contains real-time vintages of real GNP/GDP, with each column containing a different vintage of GDP. The vintages begin with 1965:Q4 and end with 2005:Q4. poutput.prn contains real-time vintages of the deflator or price index for GNP/GDP, with each column containing a different vintage of the price index. The vintages begin with 1965:Q4 and end with 2005:Q4. HPgaps.JAE.prn contains real-time vintages of estimates of the Hodrick-Prescott cyclical component of real GNP/GDP (the "HP output gap"), with each column containing a different vintage of GDP. The vintages begin with 1965:Q4 and end with 2005:Q4. Boardgaps.JAE.prn contains real-time vintages of estimates of the cyclical component of real GNP/GDP based on a filter that used to be used by the Federal Reserve Board (the "Board gap"), with each column containing a different vintage of GDP. The vintages begin with 1965:Q4 and end with 2005:Q4. rtcorePCE.prn contains real-time vintages of the core PCE price index, with each column containing a different vintage of GDP. The vintages begin with 1996:Q1 and end with 2005:Q4. Note that results for this price index are not included in the results of the paper, due to the limited sample. finaldata.prn contains the other data series used: the federal funds rate, 3-month T-bill rate, and CPI (level of the index, base year 1967). ************* PROGRAM FILES: ************* varfcs.prg RATS program to generate forecasts from all of the individual VAR models. The program reads in the data files, generates the VAR forecasts, and writes the forecasts, AIC values, etc., to RATS-format binary data files for use in the computation of the average forecasts. The output of the program includes root mean square ratios for each forecast method. Note that running this program is a bit intensive in its use of CPU (making heavy use of memory and taking 5 minutes on a very fast processor). VARLAGSELECT.SRC RATS procedure (written by Tom Doan) called by varfcs.prg for the purpose of computing optimal lag lengths of some of the VARs used to generate forecasts. avgfcs.prg RATS program to generate forecasts with the various averaging methods considered in the paper. The program reads in the source data, reads in other inputs (forecasts from individual VARs, AIC values, etc.) stored in RATS-format data files created by varfcs.prg, and computes the average forecasts. The output of the program includes root mean square ratios for each forecast method. This program takes about 7 minutes to run on a fast CPU. Contact information: todd.e.clark [AT] kc.frb.org, (816)881-2575.