Giacomini and Rossi (2010) add-in

[chris992]

Hello,
I am trying to run the Giacomini and Rossi (2010) fluctuation test in EViews or Stata manually. However, code is not my strong suit. I was wondering if an add-in would be possible.
The test is essentially a fluctuations test for forecast comparisons in unstable environments.
The authors' matlab codes and data (and the test's critical values) can be found in the Journal of Applied Econometrics data archives here: http://qed.econ.queensu.ca/jae/2010-v25 ... ini-rossi/

Giacomini, R., & Rossi, B. (2010). Forecast comparisons in unstable environments. Journal of Applied Econometrics, 25(4), 595–620.

Thank you in advance,
Chris