Jason R. Blevins, "Sequential Monte Carlo Methods for Estimating Dynamic Microeconomic Models", Journal of Applied Econometrics, Vol. 31, No. 5, 2016, pp. 773-804. The data used in this paper were originally collected by John Rust and were used for the application in the paper: John Rust, "Optimal Replacement of GMC Bus Engines: An Empirical Model of Harold Zurcher", Econometrica 55 (1987), 999-1033. The data are publicly available as part of the NFXP software distribution available at . The individual data files are in ASCII format and are vectorized into a single column with a fixed number of lines containing metadata at the top of each file. The format of the data files is detailed in the NFXP software manual: John Rust, "Nested Fixed Point Algorithm Documentation Manual", Version 6, October 2000. Retrieved from on March 25, 2015. The following excerpt from John Rust's original README file for the bus data describes the nature and format of the data files: This directory contains data on odometer readings and dates of bus engine replacements of 162 buses in the fleet of the Madison Metropolitan Bus Company that were in operation sometime during the period December, 1974 to May, 1985. The documentation of the contents of the files is described in more detail in chapter 4 of the documentation manual. The directory contains the following files, each corresponding to a different model/vintage of bus in the Madison Metro fleet: D309.ASC 110x4 matrix for Davidson model 309 buses G870.ASC 36x15 matrix for Grumman model 870 buses RT50.ASC 60x4 matrix for Chance model RT50 buses T8H203.ASC 81x48 matrix for GMC model T8H203 buses A452372.ASC 137x18 matrix for GMC model A4523 buses, model year 1972 A452374.ASC 137x10 matrix for GMC model A4523 buses, model year 1974 A530872.ASC 137x18 matrix for GMC model A5308 buses, model year 1972 A530874.ASC 137x12 matrix for GMC model A5308 buses, model year 1974 A530875.ASC 128x37 matrix for GMC model A5308 buses, model year 1975 The data in each file are vectorized into a single column: e.g. D309.ASC is a 440x1 vector consisting of the columns of a 110x4 matrix stacked on top of each other consecutively. For the complete NFXP software distribution, including the data files, documentation, and a collection of Gauss programs for processing the data and estimating a dynamic discrete choice model using the NFXP algorithm, see the following website: . The file rust-data.zip contains the files a452372.asc a530872.asc a530875.asc g870.asc t8h203.asc a452374.asc a530874.asc d309.asc rt50.asc which are the ones described above, except that the names are lower case. These files are ASCII files in DOS format. Unix/Linux users should use "unzip -a". Jason Blevins blevins.141 [AT] osu.edu