Maximo Camacho, Gabriel Perez-Quiros, and Pilar Poncela, "Extracting Nonlinear Signals from Several Economic Indicators", Journal of Applied Econometrics, Vol. 30, No. 7, 2015, pp. 1073-1089. The file cpp-codes.zip includes the codes to estimate the one-step and the two-step procedures (MS_DFM.gau and DFM_2s.gau, respectively). They read the data from data_insample.txt and provide Excel files that include all the results. The data, stacked in columns, refer to the date, Industrial Production, Employment, Income, and Sales. Further details on the sources of these indicators are in the paper. The file data_insample.txt also includes the data used to compute the real-time probabilities, which can be obtained by running the in-sample codes recursively for each of the data vintages. These data are Industrial Production, Employment, Income, and Sales. Each row refers to a particular data vintage. Hint: click the right mouse button and open the data as Excel files. All data files are ASCII files in DOS format. They are zipped in the file cpp-data.zip. In addition to data_insample.txt, these files are: ip-oct76-dec97.txt: contains data vintages of Industrial Production in columns. The first column is the date. The second column is the data vintage available on October 15, 1976, the second column is the data vintage available on November 15, 1976 and so on. The last column is the data vintage available on December 15, 1998. ip-jan98-jan11.txt: This is similar to ip-oct76-dec97.txt but the data vintages start on January 15, 1998 and end on January 15, 2011. employment-oct76-dec97.txt: It includes employment data and follows the data distribution described in the case of ip-oct76-dec97.txt. employment-jan98-jan11.txt: It includes employment and follows the data distribution described in the case of ip-jan98-jan11.txt income7-oct76-dec97.txt: It includes income data and follows the data distribution described in the case of ip-oct76-dec97.txt. income7-jan98-dec10.txt: It includes income data and follows the data distribution described in the case of ip-jan98-jan11.txt. sales-oct76-dec97.txt: It includes sales data and follows the data distribution described in the case of ip-oct76-dec97.txt. sales-jan98-nov10.txt : It includes sales data and follows the data distribution described in the case of ip-jan98-jan11.txt. If you have any questions, do not hesitate to contact Maximo Camacho (mcamacho [AT] um.es) or visit the web page: www.um.es/econometria/Maximo If you use this programme for a paper, please cite this paper. Good luck, PS: Be patient, any code works at the first try.