// This file demonstrates the capabilities of the rosssekh Stata command, which is based on the // Giacomini-Rossi (2010, Journal of Applied Econometrics) forecast fluctuation test set more off * change path according to the location of the file test_data1_new.csv insheet using giacross_test_data.csv, clear generate year = int(pdate) generate quarter = (pdate - int(pdate))*4 + 1 generate tq = yq(year, quarter) format tq %tq tsset tq * lag length set to 3, default 2-sided test giacross realiz forc spf, window(60) alpha(0.05) nw(3) dis "The value of the test statistic is " r(tstat_sup) dis "The critical value is " r(cv) " at significance level " r(level) graph save GR_demo_1, asis replace * automatic lag length selection based on Schwert criterion, one-sided test giacross realiz forc spf, window(60) alpha(0.05) side(1) dis "The value of the test statistic is " r(tstat_sup) dis "The critical value is " r(cv) " at significance level " r(level) graph save GR_demo_2, asis replace