Dong H. Kim, Marianne Sensier, and Denise R. Osborn, "Nonlinearity in the
Fed's Monetary Policy Rule", Journal of Applied Econometrics, Vol. 20,
No. 5, 2005, pp. 621-639.

All files (with the exception of miseview.wf1) are DOS files in ASCII
format. They are organized in several directories and zipped in the file
kso.zip.

Sample: quarterly data for 1960:I - 2000:IV, total 164 observations

Directories:

  a. data
  
     i) nmpdata.txt: Contains all raw data as listed below (1960:I - 2000:IV)
      - col.0: date
      - col.1: ngdp: Nominal GDP 
      - col.2: rgdp: Real GDP 
      - col.3: pgdp: Potential GDP estimated by the Congressional Budget Office
                    (CBO) 
      - col.4: hpgdp: Hodrick-Prescott filtered GDP trend
      - col.5: inf: Quarterly inflation caculated from the GDP deflator
      - col.6: int: The Federal Funds rate of the first month of the quarter
      - col.7: sgdpdfp: The median forecast of the GDP deflator at the previous
                       quarter
      - col.8: sgdpdfc: The median forecast of the GDP deflator at the current 
                       quarter
      - col.9: gbinff-current: Greenbook forecast at the current quarter
      - col.10: gbinff-one: Greenbook one-quarter ahead forecast
      - col.11: gbinff-two: Greenbook two-quarters ahead forecast
      - col.12: gbinff-three: Greenbook three-quarters ahead forecast
      - col.13: gbinff-four: Greenbook four-quarters ahead forecast
      - col.14: cvarinf: conditional variance of inflation generated from the 
                        GARCH(1,1) model of inflation 

     Data files used by the programs:
     
     ii) nrphgdp.txt: gdp data contains cols 1-4 above (1960:I - 2000:IV) 
     iii) mffr.txt: Monthly Federal Funds rate (1960m1- 2000m12), used to 
                    create col.6 above
     iv) psgdpdff.txt: The median forecast of the GDP deflator by FRB 
     	 	       Philadelphia Survey of Professional Forecasters data 
		       (1968:IV - 2000:IV), cols 7-8 above
     v) gbinff.txt: Greenbook inflation forecast (1965:IV - 1996:IV), 
     	            cols 9-13 above
     vi) cvarinf.txt: conditional variance of inflation (1960:I - 2000:IV), 
     	            col.14 above		    
     vii) figdata.txt: values to generate figures in the paper, each data set 
                       as follows:
      - col.1: x values (inflation or output gap data)
      - col.2: y values (interest rate data)
      - col.3: data for lower confidence interval 
      - col.4: data for upper confidence interval


  b. nmpprog-- 
  
     Contains the code for implementing estimation of nonlinear monetary policy
     rule and Monte Carlo analysis described on the Appendix of the paper
     
     i) mprog: main code for estimation of nonlinear monetary policy rule
     ii) montprog: code for Monte Carlo Analysis

  c. flexin-- 
  
     This directory contains programs and procedures for implementing 
     Hamilton's (2001) flexible nonlinear inference. This part is incorporated
     into above two programs to produce the results of the paper

  d. miseview-- Eviews workfile used for generating Hodrick-Prescott filtered 
     output and generating the conditional variance of inflation

  e. output-- Contains main outputs from running MPROG and MONTEC
     
     i) mprog.out: output from running MPROG
     ii) montec.out: output from running MONTEC