Roberto S. Mariano and Yasutomo Murasawa, "A New Coincident Index of Business Cycles Based on Monthly and Quarterly Series", Journal of Applied Econometrics, Vol. 18, No. 4, 2003, pp. 427-443. There are two data files, which are zipped in the file "mm-data.zip," and two Ox program files, which are zipped in the file "mm-prog.zip." All files are ASCII files in DOS format. Unix users should use "unzip -a". DATA FILES 1) BCIQ1M4.mat Number of observations: 503 (Feb. 1959 -- Dec. 2000) Number of variables: 5 Column 1: real GDP Column 2: employees on nonagricultural payrolls Column 3: personal income less transfer payments Column 4: index of industrial production Column 5: manufacturing and trade sales Sources: Bureau of Economic Analysis (http://www.bea.doc.gov/bea/dn/gdplev.xls) NBER (http://www.nber.org/cycles/hall.xlw) Note: Each series is demeaned after taking the first difference of the log of the original series. 2) BCIQ0M4.mat Number of observations: 503 (Feb. 1959 -- Dec. 2000) Number of variables: 4 Column 1: employees on nonagricultural payrolls Column 2: personal income less transfer payments Column 3: index of industrial production Column 4: manufacturing and trade sales Source: NBER (http://www.nber.org/cycles/hall.xlw) Note: Each series is NOT demeaned after taking the first difference of the log of the original series. OX PROGRAM FILES 1) ma-mu02.ox This program gives the result in Table 3, and returns the updated and smoothed estimates of the common factor. 2) st-wa91.ox This program gives the result in Table 4, and returns the updated and smoothed estimates of the common factor.