Todd E. Clark and Michael W. McCracken, "Tests of Equal Forecast 
Accuracy for Overlapping Models," Journal of Applied Econometrics, 
Vol. 29. No. 3, 2014, pp. 415-430.

This file details the (1) data and (2) RATS program files used to
produce the application results in the paper's Table 4.  The programs
can be run in whatever directory this file has been unzipped (the data
files will be in the same directory, which is what the provided
programs require).

Contact information:  todd.clark [AT] clev.frb.org, (216)579-2015.


**********
DATA FILES:  
**********

The following contains the time series of data used in the article
(all at the quarterly frequency), with rows corresponding to dates and
columns to variables. The first column in each file provides the dates
of the observation.  The first row lists the variables.

file              #obs     #var
table4data.txt     207        3

For those who may it find it more convenient, the archive includes a
corresponding Excel spreadsheet (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.

The text file, which is an ASCII file in DOS format, is zipped in the
file cm-data-txt.zip. Unix/Linux users should use "unzip -a".

The XLS file is zipped in the file cm-data-xls.zip.


*************
PROGRAM FILES:
*************

table4.prg   RATS program to read in the data, set up the models, and
   compute the forecasts, test statistics, and critical values given in
   Table 4.  The program uses the function files listed below for some of
   the computations.

fcasterr2.src   RATS function for generating (forecasts and) forecast
   errors, squared forecast errors

msetfcn.src   RATS function for computing the difference in MSEs, t-test
   for equal MSE, and Sdd statistic

pctiles1s.src   RATS function for computing bootstrap percentiles,
   1-sided case

pctiles2s.src   RATS function for computing bootstrap percentiles,
   2-sided case

All program files, which are ASCII files in DOS format, are zipped in
the file cm-programs.zip. Unix/Linux users should use "unzip -a".