Anindya Banerjee, Massimiliano Marcellino, and Igor Masten, "Structural FECM: Cointegration in Large-Scale Structural FAVAR Models", Journal of Applied Econometrics, Vol. 32, No. 6, 2017, pp. 1069-1086. Replication files: Matlab code in bmm5RepFiles.zip Data (in CSV format) in bmm-US-data.zip Run bmm5_LRres.m for analysis of permanent productivity shocks in the FECM - long-run restrictions identification scheme in the FECM. Run bmm5_MPshocks.m for the analysis of monetary policy shocks in the FECM - identification of MP shocks as in Bernanke, Boivin and Eliasz (2005). bmm-US-data.zip contains the data files described below either in txt or mat format to be read directly as specified by the code. In case of problems contact Igor Masten University of Ljubljana Faculty of Economics Kardeljeva pl. 17 1000 Ljubljana, Slovenia email: igor.masten@ef.uni-lj.si Description of data files: Source: McCracken, M. W. and S. Ng (2015). FRED-MD: A monthly database for macroeconomic research, Working Papers 2015-12, Federal Reserve Bank of St. Louis. (January 2015 vintage) Data available at: https://research.stlouisfed.org/econ/mccracken/fred-databases/ Sample: 1960m1 - 2014m7 Data files: newUSdatatr_i0_pi1_reorder.csv - I(0) dataset newUSdatatr_i1_pi1_reorder.csv - I(1) dataset UStcodevec.csv - transformation codes, variables as ordered below USslowvec.csv - indicator of slow (1) vs. fast-moving variable (0), variables as ordered below UStcodevec.csv - transformation codes, variables as ordered below USrealvec.csv - indicator real (1) and nominal (0) variables, variables as ordered below Data transformed as described in Section 6 of the paper. Data in csv format included in bmm-US-data.zip. List of variables: - see McCracken and Ng (2015) for description of acronyms - variables used in the analysis as ordered below 1 RPI 2 W875RX1 3 DPCERA3M086SBEA 4 CMRMTSPLx 5 RETAILx 6 INDPRO 7 IPFPNSS 8 IPFINAL 9 IPCONGD 10 IPDCONGD 11 IPNCONGD 12 IPBUSEQ 13 IPMAT 14 IPDMAT 15 IPNMAT 16 IPMANSICS 17 IPB51222S 18 IPFUELS 19 CLF16OV 20 CE16OV 21 UEMPLT5 22 UEMP5TO14 23 UEMP15OV 24 UEMP15T26 25 UEMP27OV 26 CLAIMSx 27 PAYEMS 28 USGOOD 29 CES1021000001 30 USCONS 31 MANEMP 32 DMANEMP 33 NDMANEMP 34 SRVPRD 35 USTPU 36 USWTRADE 37 USTRADE 38 USFIRE 39 USGOVT 40 HOUST 41 HOUSTNE 42 HOUSTMW 43 HOUSTS 44 HOUSTW 45 PERMIT 46 PERMITNE 47 PERMITMW 48 PERMITS 49 PERMITW 50 AMDMNOx 51 AMDMUOx 52 BUSINVx 53 M1SL 54 M2SL 55 M2REAL 56 AMBSL 57 TOTRESNS 58 BUSLOANS 59 REALLN 60 NONREVSL 61 S&P500 62 S&Pindust 63 S&PPEratio 64 EXSZUS 65 EXJPUS 66 EXUSUK 67 EXCAUS 68 PPIFGS 69 PPIFCG 70 PPIITM 71 PPICRM 72 oilprice 73 PPICMM 74 CPIAUCSL 75 CPIAPPSL 76 CPITRNSL 77 CPIMEDSL 78 CUSR0000SAC 79 CUUR0000SAD 80 CUSR0000SAS 81 CPIULFSL 82 CUUR0000SA0L2 83 CUSR0000SA0L5 84 PCEPI 85 DDURRG3M086SBEA 86 DNDGRG3M086SBEA 87 DSERRG3M086SBEA 88 CES0600000008 89 CES2000000008 90 CES3000000008 91 MZMSL 92 DTCOLNVHFNM 93 DTCTHFNM 94 INVEST 95 CAPUTLB00004S 96 HWI 97 HWIURATIO 98 UNRATE 99 UEMPMEAN 100 CES0600000007 101 AWOTMAN 102 AWHMAN 103 ISRATIOx 104 CONSPI 105 S&Pdivyield 106 FEDFUNDS 107 CP3M 108 TB3MS 109 TB6MS 110 GS1 111 GS5 112 GS10 113 AAA 114 BAA 115 NAPMPI 116 NAPMEI 117 NAPM 118 NAPMNOI 119 NAPMSDI 120 NAPMII 121 COMPAPFF 122 TB3SMFFM 123 TB6SMFFM 124 T1YFFM 125 T5YFFM 126 T10YFFM 127 AAAFFM 128 BAAFFM 129 NAPMPRI Due to missing values the following variables were excluded from the McCracken and Ng (2015) dataset: ACOGNO ANDENOx NONBORRES TWEXMMTH UMCSENT At the zero-lower bound, the federal funds rate (FEDFUNDS) is replaced with the Wu and Xia (2016) shadow short rate (Wu, J. C. and F. D. Xia, 2016, Measuring the macroeconomic impact of monetary policy at the zero lower bound, Journal of Money, Credit, and Banking, 48, 253-291).