Some sample code is given and described. The data sets and programs can be downloaded from the Palgrave Macmillan web page http://www.palgrave.com/economics/Clements/index.asp. The Gauss code given below is for illustrative purposes. It is not meant to illustrate good programming technique, or to be especially general. It is hoped that the sample code might encourage the reader to experiment, and some suggestions are given which may be taken up as simple exercises.
KeywordsData Generation Process Point Forecast Interval Forecast Forecast Density Monte Carlo Replication
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