Data and Code for: All Forecasters Are Not the Same: Systematic Patterns in Predictive Performance

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This replication package was assembled in January of 2025. The code in this repository generates the 13 figures and content of the 3 tables for the paper “All Forecasters Are Not the Same: Systematic Patterns in Predictive Performance”. It also generates the 2 figures and content of the 5 tables in the appendix to this paper. The main contents of the repository are the following:

• Code/: folder of scripts to prepare and clean data as well as generate tables and figures.
• Functions/: folder of subroutines for use with MATLAB scripts.
• Data/: data folder.
• Raw/: ECB SPF forecast data, realizations of target variables, and start and end bins for density forecasts.
• Intermediate/: Data used at intermediate steps in the cleaning process. These datasets are generated with x01_Raw_Data_Shell.do, x02a_Individual_Uncertainty_GDP.do, x02b_Individual_Uncertainty_HICP.do, x02c_Individual_Uncertainty_Urate.do, x03_Pull_Data.do, x04_Data_Clean_And_Merge, and x05_Drop_Low_Counts.do in the Code/ folder.
• Ready/: Data used to conduct regressions, statistical tests, and generate figures.
• Output/: folder of results.
• Figures/: .jpg files for each figure used in the paper and its appendix.
• HL Results/: Results from applying the Hounyo and Lahiri (2023) testing procedure for equal predictive performance to ECB SPF forecast data. This folder contains the material for Tables 1A-4A.
• Regressions/: Regression results, as well as material for Tables 3 and 5A.
• Simulations/: Results from simulation exercise as well as the datasets used to create Figures 9-12.
• Statistical Tests/: Results displayed in Tables 1 and 2.

The repository also contains the manuscript, appendix, and this read-me file.

Disclaimer
This replication package was produced by the authors and is not an official product of the Federal Reserve Bank of Cleveland.  The analysis and conclusions set forth are those of the authors and do not indicate concurrence by the Federal Reserve Bank of Cleveland or the Federal Reserve System.