Michael P. Clements and Jeremy Smith, "A Monte Carlo Study of the
Forecasting Performance of Empirical SETAR Models", Journal of Applied
Econometrics, Vol. 14, No. 2, 1999, pp. 123-141.

The two files krager.f and potter.f are fortran programmes which use the NAG
library. The programmes will generate empirical SETAR models of exchange 
rates using the paper of Krager and Kugler (1993) (JIMF) and for US GNP using 
the paper of Potter (1995) (JAE). Having generated the artificial data as 
SETAR models, the programmes then estimates both AR and SETAR models. These 
two alternative models are then evaluated in terms of their forecasting
performance. The methods of evaluating the forecasting is via FMSE 
comparison (and t-tests using the Diebold and Mariano (1995) (JBES) 
statistic) and by comparison of regime predictions.

These files are zipped in the file cp-progs.zip. They are in DOS format,
so Unix users should use the -a option when unzipping.