Replication files for Forecasting National Recessions Using State Level Data.
Michael Owyang, Jeremy Piger and Howard Wall

Gauss program:  opw.gss
Data file (in Microsoft Excel format): data_opw.xls

Data file holds the variables in the following order:

Date Indicator
NBER Recession Dummy Variable
Federal Funds Rate 
S&P 500 Stock Index Three Month Return 
Ten Year - Three Month Treasury Yield Spread 
U.S. Payroll Employment Three Month Growth Rate
U.S. Industrial Production Three Month Growth Rate
State Employment Three Month Growth Rates

The State Employment Three Month Growth Rates are ordered as follows:

Alabama, Alaska, Arizona, Arkansas, California, Colorado, Connecticut, Delaware, Florida, Georgia, Idaho, Illinois, Indiana, Iowa, Kansas, Kentucky, Louisiana, Maine, Maryland, Massachusetts, Michigan, Minnesota, Mississippi, Missouri, Montana, Nebraska, Nevada, New Hampshire, New Jersey, New Mexico, New York, North Carolina, North Dakota, Ohio, Oklahoma, Oregon, Pennsylvania, Rhode Island, South Carolina, South Dakota, Tennessee, Texas, Utah, Vermont, Virginia, Washington, West Virginia, Wisconsin, Wyoming, Washington D.C. 

All variables are sampled monthly. Each variable is measured from April 1960 to August 2013. 

Program produces two text files of output:

out_of_sample_forecasts.txt holds the out of sample probability of recession over the period January 1979 to August 2013. 

recession_forecast_out_of_sample_output.txt holds the correspondence and quadratic probability score computed over the out of sample period January 1979 to August 2013. This file also holds the average inclusion probabilities for each variable over the recursive estimations. 
