Dario Caldara, Richard Harrison, Anna Lipinska, "Practical Tools for
Policy Analysis in DSGE Models with Missing Shocks", Journal of
Applied Econometrics, Vol. 29, No. 7, 2014, pp. 1145-1163.

All files are in the zip file chl-files.zip. It contains five directories.
Most files are ASCII files in DOS format.


CODES:

Replication codes for the Bayesian Estimation exercise in Section 3 may 
be found in Section3:

\Section3\iacoviello_small: Simulates data;

\Section3\iacoviello_policymodel: Policy model in section 3.2

\Section3\iacoviello_policymodel_aug: Augmented policy model in section 3.3

\Section3\iacoviello_policymodel_augUF: Augmented policy model with
    unobserved factors in section 3.3


Replication codes for Bayesian Estimation exercise in Section 4 may be 
found in the Appendix:

\Section4\usmodel_housing : Smets Wouters (2007) model augmented as
    described in Section 4.


Replication codes for Bayesian Estimation exercise with the oil model
in Appendix A may be found in Appendix:

\Appendix\bench_oil : DGP described in Appendix A

\Appendix\policy_model_oil : Policy model described in Appendix A

\Appendix\policy_model_aug_oil : Augmented policy model described in
    Appendix A


DATA-Excel:

usmodel_data_augmented.xls : data are from Smets and Wouters (2007),

downloaded at
  http://www.aeaweb.org/articles.php?doi=10.1257/aer.97.3.586
except for house price data.

The original data are in usmodel_data.xls.
  

DATA-csv:

All the data may also be found in ASCII (CSV) form in this directory.


Definition of data variables:

consumption = LN( ( PCEC / GDPDEF ) / LNSindex ) * 100
investment = LN( ( FPI / GDPDEF ) / LNSindex ) * 100
output = LN( GDPC96 / LNSindex ) * 100
hours = LN( (PRS85006023 * CE16OV / 100 ) / LNSindex ) * 100
inflation = LN( GDPDEF / GDPDEF(-1) ) * 100
real wage = LN( PRS85006103 / GDPDEF ) * 100
interest rate = Federal Funds Rate / 4
house prices = X12(LN(USHPI)) - LN(GDPDEF)


Sources of the original data:

GDPC96: Real Gross Domestic Product - Billions of Chained 1996
        Dollars, Seasonally Adjusted Annual Rate Source: U.S. Department of
        Commerce, Bureau of Economic Analysis

GDPDEF: Gross Domestic Product - Implicit Price Deflator - 1996=100,
        Seasonally Adjusted Source: U.S. Department of Commerce, Bureau of
        Economic Analysis

PCEC: Personal Consumption Expenditures - Billions of Dollars,
      Seasonally Adjusted Annual Rate Source: U.S. Department of Commerce,
      Bureau of Economic Analysis 

FPI: Fixed Private Investment - Billions of Dollars, Seasonally
     Adjusted Annual Rate Source: U.S. Department of Commerce, Bureau of
     Economic Analysis

CE16OV: Civilian Employment: Sixteen Years & Over, Thousands,
        Seasonally Adjusted Source: U.S. Department of Labor: Bureau of Labor
        Statistics

CE16OV index: CE16OV (1992:3)=1

Federal Funds Rate: Averages of Daily Figures - Percent Source: Board
        of Governors of the Federal Reserve System (Before 1954: 3-Month
        Treasury Bill Rate, Secondary Market Averages of Business Days, 
        Discount Basis)

LFU800000000: Population level - 16 Years and Older - Not Seasonally
              Adjusted Source: U.S. Bureau of Labor Statistics

LNS10000000: Labor Force Status : Civilian noninstitutional population
             Age : 16 years and over - Seasonally Adjusted - Number in
	     thousands  Source: U.S. Bureau of Labor Statistics (Before 1976)

LNSindex : LNS10000000(1992:3)=1

PRS85006023: Nonfarm Business, All Persons, Average Weekly Hours Duration,
             index, 1992 = 100, Seasonally Adjusted  Source: U.S.
             Department of Labor 

PRS85006103: Nonfarm Business, All Persons, Hourly Compensation Duration,
             index, 1992 = 100, Seasonally Adjusted  Source: U.S.
	     Department of Labor

USHPI: OFHEO house price index (all transactions).