FOREC_INSTAB: Stata module to perform forecast comparison and forecast rationality tests

Barbara Rossi

Statistical Software Components from Boston College Department of Economics

Abstract: 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.

Language: Stata
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.
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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)

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