% This folder contains codes required to replicate the empirical results in article "Conditional Predictive Density Evaluation in the Presence of Instabilities" 
% by Barbara Rossi and Tatevik Sekhposyan, 2013, Journal of Econometrics.

% EmpiricalResults folder contains the results reported in Table 
% 3, as well as Figures 1 and 2 in the paper

% main executable files
% empiricalSPFProbinflserialcorr.m
% empiricalSPFProboutputserialcorr.m
% reads the data, constructs 
% the normal approximation to the discrete predictive densities, 
% implements the tests and reports the results 

% test files
% rstest.m - constructs the test statistics for the KS and CVM 
% specification and instability tests proposed in the paper
% momentsrvec.m - calculates the restrictions associated with the parameter estimation error, used in the correction of the assymptotic distributions of the tests,
% corresponds to second component of the matrix Xi and Kappa (scores)
% generalCVPE.m - calculates the critical values of the tests for various input parameters

% supporting files
% nw.m - Newey West HAC covariance estimator
% cal_ds.m - Construct Calendar Sequences for Plotting