Todd E. Clark, "Disaggregate Evidence on the Persistence of Consumer Price
Inflation", Journal of Applied Econometrics, Vol. 21, 2006, pp. 563-587.

This file details the basic data and RATS program files used in the paper,
to generate the results in Tables 1-8.  The programs can be run in whatever
directory the data and programs files have been unzipped in. The programs
require that the data files be in the same directory.

DATA FILES:  
***********

The data files are zipped in the file clark-data.zip. They are all ASCII
files in DOS format.

The following files contain time series of personal consumption expenditure
(PCE) price indexes, with rows corresponding to dates and columns to
variables, with separate files by aggregation level and frequency of data.
Monthly data (1959:m1-2002:m9) are in files named pi_mly_*.txt; quarterly
data (1959:Q1-2002:Q3) are in files named pi_qly_*.txt.  The aggregation
level, corresponding to those described in the paper, is given by the number
that precedes the .txt extension.  Aggregation level 0 corresponds to
aggregate data, for total PCE, core PCE, durables, nondurables, and
services.  For the other aggregation levels, the orderings of the variables
(columns) corresponds to those provided in the paper's appendix tables.

file	       	#obs   #var

pi_mly_0.txt	525	 5
pi_mly_3.txt	525    109
pi_qly_0.txt	175	 5
pi_qly_1.txt	175	11
pi_qly_2.txt	175	46
pi_qly_3.txt	175    109
pi_qly_4.txt	175    156

Each of the following files contains a vector of weights, used in the paper
to construct weighted averages of persistence estimates.  The weights
correspond to 2001 shares of core PCE spending.

file	         #obs

weights1.txt	   11
weights2.txt	   46
weights3.txt	  109
weights4.txt	  156

Note that the source of all the price index and expenditure data was a
spreadsheet available from the web site of the U.S. Bureau of Economic
Analysis.  For some of the aggregate variables -- core nondurables and core
services -- price indexes are not constructed by the BEA.  In these cases,
price indexes were constructed using component price indexes, expenditure
shares, and the Tornqvist approximation of an ideal price index (as
described in the paper).


PROGRAM FILES:
**************

The program files are zipped in the file clark-progs.zip. They are all ASCII
files in DOS format.

RATS version 5.10 or higher is required to use the programs (version 5.04
could be used if the BOOT command that enters the grid bootstrap procedures
were adjusted to use a vector of integers rather than a series).  Note that,
because of the extensive bootstrap simulations involved in all cases, the
programs take a while to run. 

The following are procedures used in estimating confidence intervals for
persistence:

roots.src a procedure called by the two grid bootstrap procedures for the
          purpose of calculating the largest polynomial root

gridbootstrap.src the procedure for Hansen's grid bootstrap, used by
                  pers.prg and factorest.prg


gridbootstrap_breaks.src a procedure for Hansen's grid bootstrap that
			 imposes a break in the mean of the series of
			 interest, used by perswbreak.prg


The following are RATS programs used to generate the results in Tables 1-8.
				
pers.prg	     persistence results in Tables 1-3
ARbreaks.prg	     break test results in Tables 4-6
perswbreak.prg	     persistence results in Table 7
factorest.prg	     persistence results in Table 8

Contact information:  todd.e.clark [AT] kc.frb.org, 816 881-2575.