FOREC_INSTAB: Stata module to perform forecast comparison and forecast rationality tests
Barbara Rossi ()
Statistical Software Components from Boston College Department of Economics
rosssekh runs the Rossi-Sekhposyan Forecast Rationality test described in Journal of Applied Econometrics, 2016, (31), pp.507-532. giacross runs the Giacomini-Rossi Forecast Comparison test described in Journal of Applied Econometrics, 2010, (25), pp.595-620.
Requires: Stata version 8 and dmariano from SSC (requires version 9.2)
Keywords: forecast; forecast comparison; instability; breaks; forecast optimality; forecast unbiasedness; forecast rationality; Rossi; Sekhposyan; Giacomini (search for similar items in EconPapers)
Date: 2016-09-27, Revised 2017-07-22
Note: This module should be installed from within Stata by typing "ssc install forec_instab". The module is made available under terms of the GPL v3 (https://www.gnu.org/licenses/gpl-3.0.txt). Windows users should not attempt to download these files with a web browser.
References: Add references at CitEc
Citations: Track citations by RSS feed
Downloads: (external link)
http://fmwww.bc.edu/repec/bocode/r/rosssekh.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/r/rosssekh.sthlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/g/giacross.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/g/giacross.sthlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/g/GR_demo.do example do-file (text/plain)
http://fmwww.bc.edu/repec/bocode/r/RS_demo.do example do-file (text/plain)
http://fmwww.bc.edu/repec/bocode/r/rosssekh_test_data.csv sample data file (text/plain)
http://fmwww.bc.edu/repec/bocode/g/giacross_test_data.csv sample data file (text/plain)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:boc:bocode:s458245
Ordering information: This software item can be ordered from
Access Statistics for this software item
More software in Statistical Software Components from Boston College Department of Economics Boston College, 140 Commonwealth Avenue, Chestnut Hill MA 02467 USA. Contact information at EDIRC.
Bibliographic data for series maintained by Christopher F Baum ().