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

% MonteCarloResults folder contains the results for Monte Carlo Size and Power reported in Tables 1 and 2 in the paper

% main files 
% 1a. MonteCarloSize.m - the main file that runs the size exercises. One should change the DGP identifier (1, 2) to get 
% to the appropriate design of a Monte Carlo reported in the paper.
% 2b. MonteCarloPower.m - the main file that runs the power exercises. One could change the DGP identifier (1, 2, 3) to get 
% to the appropriate design of a Monte Carlo reported in the paper. 

% test files
% 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