Anders Warne, Günter Coenen, and Kai Christoffel, "Marginalized
Predictive Likelihood Comparisons of Linear Gaussian State-Space
Models with Applications to DSGE, DSGE-VAR, and VAR Models", Journal
of Applied Econometrics, Vol. 32, No 1, 2017, pp. 103-119.

The data are contained in the file "NAWMData-1980Q2-2011Q4.txt". It
is an ASCII file in DOS format, and it is zipped in the file
wcc-data.zip. Unix/Linux users should use "unzip -a".

The file contains 127 quarterly observations for the sample
1980Q2-2011Q4 of the euro area data employed by the New Area-Wide
Model and its three competitors. The number of variables is equal to
18. The variables are already transformed in the file such that they
are equal to the actual numbers supplied to the models.

The underlying data transformations (as well as the details of the New
Area-Wide Model) are described in Christoffel, Coenen, and Warne
(2008); see also the descriptions below.

The first row of the data file contains the variable names, while the
remaining rows contain date information and values of the variables.

Name       Description
-----------------------

DY         Real GDP growth in natural logarithms times 100.

DC         Real private consumption growth in natural logarithms times 100.

DI         Real total investment growth in natural logarithms times 100.

G          Detrended government consumption in natural logarithms times 100.

DX         Real extra exports growth in natural logarithms times 100 and adjusted
           to have the same average as DY over the sample 1985Q1-2011Q4.

DIM        Real extra imports growth in natural logarithms times 100 and adjusted
           to have the same average as DY over the sample 1985Q1-2011Q4.

PIY        GDP deflator inflation in natural logarithms times 100.

PIC        Private consumption deflator inflation in natural logarithms times 100.

PIIM       Extra import price deflator inflation in natural logarithms times 100.

E          Total employment in natural logarithms times 100, detrended by a
           linear trend with slope 0.2 and thereafter de-meaned over the sample
           1985Q1-2011Q4.
DWN        Nominal wage growth in natural logarithms times 100.

R          Short-term nominal interest rate given by the 3-month EURIBOR.

S          Real effective exchange rate in natural logarithms times 100 and de-meaned
           over the sample 1985Q1-2011Q4. The real effective exchange rate is computed
           from the nominal effective exchange rate, the GDP deflator, and foreign prices
           (described in PIYSTAR). For the definition of the nominal effective exchange
           rate, see also Hubrich and Karlsson (2010).

PIYSTAR    Foreign price inflation in natural logarithms times times 100, where foreign
           prices are defined as a weighted average of foreign GDP deflators taken from
           the US, Japan, UK and Switzerland.

DYSTAR     Foreign demand growth in natural logarithms times 100. Foreign demand is
           equal to world demand (WDR), see Hubrich and Karlsson (2010).

RSTAR      Foreign short-term nominal interest rate measured by the Federal Funds rate.

POILU      Oil price index (with 1995Q1 as base period) divided by foreign prices, in
           natural logarithms times 100, and detrended over the sample 1985Q1-2011Q4.

PCX        Competitors' export prices divided by foreign prices, in natural logarithms
           times 100, and detrended over the sample 1985Q1-2011Q4. Competitors' export
           prices (CXUD) are explained in Hubrich and Karlsson (2010).

All time series are taken from an updated version of the ECB's
Area-Wide Model (AWM) database (see Fagan, Henry, and Mestre, 2005),
except for the time series of extra-euro area trade data, the
construction of which is detailed in Dieppe and Warmedinger (2007).

The underlying matlab code we have used to estimate the DSGE and
DSGE-VAR models is available with the YADA distribution, which can be
downloaded from:

   http://www.texlips.org/yada/index.html


References:
-----------

Christoffel, K., Coenen, G., and Warne, A. (2008), "The New Area-Wide
Model of the euro area: A micro-founded open-economy model for
forecasting and policy analysis", ECB Working Paper Series No. 944.

Dieppe, A., and Warmedinger, T. (2007), "Modelling intra- and
extra-area trade substitution and exchange rate pass-through in the
euro area", ECB Working Paper Series No. 760.

Fagan, G., Henry, J., and Mestre, R. (2005), "An area-wide model for
the euro area", Economic Modelling, 22, 39-59.

Hubrich, K., and Karlsson, T. (2010), "Trade consistency in the
context of the Eurosystem projection exercises: An overview", ECB
Occasional Paper Series No. 108.