George Kapetanios, Lynda Khalaf, and Massimiliano Marcellino, "Factor Based Identification-Robust Inference in IV Regressions", Journal of Applied Econometrics, Vol. 31, No. 5, 2016, pp. 821-842. All files are zipped in the file kkm-files.zip. Since all files are ASCII files in DOS format, Unix/Linux users should use "unzip -a". 1. us_2006.dat, usi.dat, usfactor.txt are the datasets. usdata_2006.dat: (59:2-05:3) quarterly data,186 observations; data source: taken from Dufour, Khalaf, and Kichian (2013) col1: Real GDP level col2: deflator inflation [ 100*(log(deflator[T]) - log(deflator[T-1])) ] col3: labor share of income (non-farm business labor) col4: labor share of income (total compensation labor) col5: wage inflation col6: Int. rate spread col7: commodity price inflation col8: change in M1 col9: change in M2 usi.dat (59:2-05:3) quarterly data,186 observations; data source: taken from Dufour, Khalaf, and Kichian (2013) col1: LR interest rate col2: SR interest rate (3-mth t-bill) usfactor.txt:(59:4-05:9) monthly data,558 observations; data source: 15 (monthly) factors estimated (by principal components from standardized data) from an updated Stock-Watson dataset used in the paper by Boivin, Giannoni and Stevanovic (2013). We use the code mtoq.m to transform the monthly data to the quarterly data. 2. ipsoGARCS_benati2008m.m is the code for calculating confidence set by inverting HAC-AR with Benati(2008) model. 3. ipsoGARCS_GG.m is the code for calculating confidence set by inverting HAC-AR with Gali and Gertler(1999) model. 4. ipsoGARCS.m is the code for calculating confidence set by inverting HAC-AR with Dufour, Khalif, and Kichian(2013) model. 5. ipsoIARCS_benati2008m.m is the code for calculating confidence set by inverting iid-AR with Benati(2008) model. 6. ipsoIARCS_GG.m is the code for calculating confidence set by inverting iid-AR with Gali and Gertler(1999) model. 7. ipsoIARCS.m is the code for calculating confidence set by inverting iid-AR with Dufour, Khalif, and Kichian(2013) model. 8. output folder contains codes for output equation. 9. taylor folder contains codes for a backward-looking Taylor-rule equation. 10. taylor_Mav2010AER folder contains codes for a forward-looking Taylor-rule equation. 11. FIV.txt saves the results.