Brady, Ryan R., "Measuring the Diffusion of Housing Prices across Space 
and over Time," Journal of Applied Econometrics, Vol. 26, No. 2, 2011, 
pp. 213-231.

The file rb-files.zip contains seven data files and two program files
(written for Gauss) that help organize and sort the data. All files are
ASCII files in DOS format. Unix/Linux users should use "unzip -a".

2) There are seven data files. The contents of each and the source are
listed below:

i) "cpiwestregion.txt": Date; CPI Index for West Region (CUUR0400SA0);
Percent Change. Available from the Bureau of Labor Statistics, www.bls.gov

ii) "dates.txt": Single column of dates used in File to reshape data

iii) "aggregatedata.txt": U.S. CPI (all items); U.S.CPI (core); Federal
Funds Rate; Index of Industrial Production; 30-year mortgage rate; spot oil
price (west texas intermediate). Data available from Bureau of Economic
Analysis (www.bea.gov) or Bureau of Labor Statistics (www.bls.gov). The spot
oil price is available at the Federal Reserve Bank of St. Louis "FRED"
archive.

iv) "hprices.txt": Average single-family home price 31 counties, stacked by
county and year. The months for each year comprise the columns.  The monthly
average single-family home sales price for each county is generated by the 
California Association of Realtors.

v) "population.txt": Annual populations for 31 counties (rows), 1970 to 2005
(columns).  The county population numbers are compiled by the California
Department of Finance.

vi) "newhouses.txt": New county construction for 31 counties, stacked by
county and year (rows). The months make up the columns. New units of
single-family housing built per month is provided by the California
Construction Industry Research Board.

vii) "unemploymentrate.txt": For 31 counties, stacked by county and year
(rows); months make up the columns. Monthly civilian unemployment rates for
each county are made available by the Employment Development Department of
California.

There are also two Gauss program files:

1) "populationseries.g" produces a file "populationvector.out" which is
called by the program "reshape-data.g".

2) The program "reshape-data.g" merges the various data files and provides 
a panel that can easily be used for estimation.  The output files produced
from the code are in ASCII form that can then be used for the program of
your choice, for example, Matlab or Stata.

For the paper, I "hand-inputed" the spatial matrices in Matlab.  See James
Lesage's Econometric Toolbox for Matlab code that will automatically produce
a spatial weight matrix (www.spatial-econometrics.com).  

Ryan Brady: rbrady [AT] usna.edu.
http://www.usna.edu/Users/econ/rbrady/research.htm.