Christos S. Savva, "Replication of Grier, Henry, Olekalns and Shields (2004)--The Asymmetric Effects of Uncertainty on Inflation and Output Growth", Journal of Applied Econometrics, Vol. 31, No. 6, 2016, pp. 1192-1196. ghos.data: This file was taken from the Journal of Applied Econometrics Data Archive. It was used in the paper Kevin B. Grier, Ólan T. Henry, Nilss Olekalns, and Kalvinder K. Shields, "The Asymmetric Effects of Uncertainty on Inflation and Output Growth", Journal of Applied Econometrics, Vol. 19, No. 5, 2004, pp. 551-565. The sample is monthly over the period April 1947 to October 2000. The first column in the file contains the date, the second contains the consumer price index, PPIFGS, and the third contains the industrial production index, INDPRO. The data were obtained from the FRED database at the Federal Reserve Bank of Saint Louis and were deseasonalized at source. ndata.txt: This file contains the updated series of the consumer price index, PPIFGS, and the industrial production index, INDPRO. It has the same structrure as ghos.data. The updated data were obtained from the FRED II database, http://research.stlouisfed.org/fred2/. This database replaced the original Federal Reserve Economic Data (FRED) database, which was discontinued on July 13, 2003. BEKKM.gss: This file is in GAUSS format. It contains the routines to run the multivariate-GARCH in mean model. strval.txt: This file contains the starting values for the multivariate GARCH-in-mean model. printmat.g: This file is in GAUSS format. It was written by MATIAS EKLÖF and prints the estimates of the multivariate-GARCH in mean model. All files are ASCII files in DOS format and are zipped in the file csavva-progs.zip. Unix/Linux users should use "unzip -a".