Jaejoon Lee and Charles R. Nelson, "Expectation Horizon and the Phillips
Curve: The Solution to an Empirical Puzzle", Journal of Applied
Econometrics, Vol. 22, No. 1, 2007, pp. 161-178.

The file ln-files.zip contains one data file and two program files, all of
which are ASCII files in DOS format. Unix users should use "unzip -a".
 
(1) lee-nelson-data.txt: The data file is in tab-delimited format and
contains inflation and unemployment data for the US economy for the period
from 1957:Q1 to 2002:Q2(Source: DRI Basics). The chain-weighted GDP deflator
was used as a measure of price, and the civilian unemployment rate was used
as a measure of unemployment. 
 
(2) lee-nelson-model1.txt: This is the GAUSS program file which executes the
trend-cycle decomposition and the VAR estimation of the unrestricted model
in Section 3. 
 
(3) lee-nelson-model2.txt: This is the GAUSS program for the restricted
model in Section 3.
 
Jaejoon Lee
jjoon.lee [AT] samsung.com