Data:
Case_Shiller_index.xls


Models:

1. Nonstationary model with structural breaks

	a. Identification of break dates has been done by applying the Bai-Perron multiple structural break test. A GAUSS program code for this is available on the official home page of Pierre Perron (http://people.bu.edu/perron/).

	b. We have generated dummy variables (intercept and trend dummies) according to the above break dates. The estimation has been performed using Eviews 7 software. We have also obtained the in-sample as well as the out-of-sample forecasts for this model.

2. The estimation of Random Acceleration and ARMA (2,2) models have also been  performed in Eviews 7.

3. We have carried out estimation of SETAR and STAR models by applying the GAUSS program available in  Dick van Dijk's official homepage (http://people.few.eur.nl/djvandijk/).

4. The Gauss code for the Modified Diebold-Mariano test has been obtained from the official homepage of David E. Rapach (http://sites.slu.edu/rapachde/home/research).