Miguel Juárez and Mark Steel, "Non-Gaussian Dynamic Bayesian Modelling for Panel Data", Journal of Applied Econometrics, Vol. 25, No. 7, 2010, pp. 1128-1154. The three data sets in matlab-data.zip are MATLAB mat files. The same data are also provided as ASCII files (in DOS format) in the file ascii-data.zip. Unix/Linux users should use "unzip -a" for this zip file only. In all cases, the data are ordered such that the first T_1 observations correspond to the first time period, etc. The data on GDP growth pertain to 29 countries, of which we select 25 in the paper (compare the `OECD_names' file with Appendix B of the paper). Hirano.mat was kindly provided by K. Hirano, from Hirano (2002), Econometrica, 70, 781-799. These data are also contained in the files: Hirano_cg.txt Hirano_hs.txt Hirano_hsd.txt Hirano_tot.txt OECD.mat can be downloaded from the Penn World Tables, V.6.1. These data are also contained in the files: OECD_growth.txt OECD_open.txt OECD_gdp.txt OECD_names.txt OECD_save.txt Tiao.mat is taken from Liu, M.C. and Tiao. G.C. (1980), Journal of Econometrics, 13, 305-325. These data are also contained in the file tiao.txt. All code below is for use in a MATLAB environment: Code and readme files for the pooled Skew-t model are in PSkt.zip Code and readme files for the UN-pooled Skew-t model are in USkt.zip Code and readme files for the bridge sampler are in bsPSkt.zip MCMCAppendix.pdf describes briefly the MCMC scheme of the above samplers and contains some results on convergence of the chains.