Pablo A. Guerron-Quintana, "What You Match Does Matter: The Effects of Data
on DSGE Estimation", Journal of Applied Econometrics, Vol. 25, No. 5,
2010, pp. 774-804.
All data are in the file gq-data.txt, which is an ASCII file in DOS format.
It is zipped in the file gq-data.zip. Unix/Linux users should use "unzip -a".
The data are extracted from the Haver Analytics database. The data spans
from the third quarter of 1954 to the fourth quarter of 2004 for a total of
202 observations. Rows correspond to time and columns to observables.
The data in the file are organized as follows (from left to right):
growth rates of Output, consumption, investment, real wages, the level of
labor, annualized nominal interest rates, and annualized inflation
The series are built as follows: real GDP results from dividing nominal GDP
by population (16 years and older) and the GDP deflator. Real consumption is
the sum of personal consumption of non-durables and services. Real
investment consists of personal consumption expenditures of durables and
gross private domestic investment. To obtain per capita measures, both real
consumption and real investment are divided by population. The log of hours
of all persons in the non-farm business sector divided by population
corresponds to labor. Real wages result from dividing the nominal wage per
hour in the non-farm business sector by the GDP deflator. Interest rates
correspond to the effective Federal Funds Rate, while inflation is the
quarterly log difference of the GDP deflator. Both interest rates and
inflation are expressed in annual basis.