Ferre De Graeve and Karl Walentin, "Refining Stylized Facts from Factor 
Models of Inflation", Journal of Applied Econometrics, Vol. 30, No. 7, 
2015, pp. 1192-1209.

There are three ASCII files (in DOS format), which are zipped in the file 
dw-files-ascii.zip. There are three binary files, which are zipped in 
the file dw-files-binary.zip. Unix/Linux users should use "unzip -a" on 
the former, and "unzip" on the latter.

The original data are exactly the same as that of Boivin, Giannoni and
Mihov (AER, 2009) as downloaded from
http://www.aeaweb.org/aer/data/mar09/20070033_data.zip

The data are contained in data76.mat (binary) and data76.txt (ASCII).
Rows are dates from 1976:1 to 2005:6.
Columns are different series: detailed names of the series can be found
in data_lists.xls (binary)

Running the code requires Dynare and Matlab.

The program DYNLOOP_BGMFACTORS_MA1_AR13_new_JAE.m (ASCII) obtains all
estimates, from which figures and tables can be constructed (table and
figure code not included).

Uses:

-- data_X652_5F653.mat:

   * which is obtained by modifying BGM's irfbootfac.m to obtain five common
     factors without forcing the Fed funds rate to be a separate factor
  
   * contains the data matrix X and the factors F

-- MA1_AR13.mod:

   * estimates the unobserved components model for each sector separately