James M. Nason and Gregor W. Smith, "Identifying the New Keynesian 
Phillips Curve", Journal of Applied Econometrics, Vol. 23, No. 5, 2008, 
pp. 525-551.

The data are supplied as *.txt and *.mat ASCII files.  The *.txt files 
contain the data with headers. The *.mat files are raw data files 
stripped of headers. These files are all in DOS format, so Unix users 
should use "unzip -a".

There are six data files:

  cdndata1.txt and cdndata1.mat for Canada
  ukdata1.txt and ukdata1.mat for the UK
  usdata1.txt and usdata1.mat for the US

They are all zipped in the file ns-data.zip.
 
The following reproduces (with additional detail) Data Appendix B of
"Identifying the New Keynesian Phillips Curve".


United States:

The price level Pt is the GDP implicit price deflator.

The GDP deflator is available in chain weight form and in implicit form 
(all the U.S. results are based on the implicit GDP deflator).

Nominal unit labor cost (ULC) is the ratio of the index of hourly 
compensation in the non-farm business sector, labelled COMPNFB, to 
output per hour of all persons in the non-farm business sector, labelled 
OPHNFB.

COMPNFB is an index of the nominal wage.

OPHNFB is an index of the average product of labor. These can be found 
in the Federal Reserve Bank of St. Louis FRED databank.  Thus, ULC is a 
measure of labor's share.

Real ULC equals nominal ULC deflated by P(t).

Inflation is 100 ln[P(t)/P(t-1)] and real ULC is 100(1 + q)
ln[COMPNFB(t)/OPHNFB(t)] - 100 ln[P(t)], where q is a function of the
steady-state markup and labor's share parameter in the firm's production
function. This adjustment renders real ULC stationary and q = 1.08.

The entire sample runs from 1947Q1 to 2002Q4, but the estimation sample
period is 1949Q1 - 2001Q4, T = 212. The data files usdata1.txt and
usdata1.mat consist of

Column 1  Column 2         Column 3          Column 4          Column 5
date      logged Real ULC  logged Implicit   logged Real ULC   logged Chained
          (GDP Deflator)   GDP Deflator      (Chained)         GDP Deflator


United Kingdom:

The inflation rate is measured with the GDP deflator, and x is a measure 
of the log of real marginal cost.  Data sources are given by Neiss and 
Nelson, "Inflation dynamics, marginal cost, and the output gap: Evidence 
from three countries." Journal of Money, Credit, and Banking 37: 
1019-45, 2005, who kindly provided the data.  The estimation period is 
1961Q1 to 2000Q4, T 168. The entire sample covers 1955Q2 to 2001Q2.

The data files ukdata1.txt and ukdata1.mat consist of

Column 1    Column 2         Column 3          Column 4
date        CPI inflation    logged real ULC   Implicit GDP Deflator Inflation


Canada:

The inflation rate is measured with the GDP deflator, while x is the log 
of the labour share in the non-farm, business sector.  Data sources are 
given by Guay, Luger, and Zhu, "The new Phillips curve in Canada," In 
Price Adjustment and Monetary Policy. Bank of Canada: Ottawa, 2003, who 
kindly provided the data.  The entire sample begins in 1961Q1 and ends 
in 2001Q4. The estimation period is 1963Q1 to 2000Q4, T = 152.

The data files cdndata1.txt and cdndata1.mat consist of

Column 1    Column 2                    Column 3               Column 4
date        Implicit GDP Deflator       real ULC               CPI