Giovanni Angelini, Emanuele Bacchiocchi, Giovanni Caggiano, and Luca
Fanelli, "Uncertainty Across Volatility Regimes", Journal of Applied
Econometrics, Vol. 34, No. 3, 2019, pp. 437-455.

/*------------------------------- Files ------------ ------------------*/

The zip file abcf-files.zip contains the following files:

1 - DataSet.xlsx: Dataset in xlsx format with data and description of
    the data (with the related source) 

2 - DataSet.txt: Dataset in txt format to be uploaded by the Matlab code

3 - MainCode.m: Main Matlab code for replicating Table 2 of the paper
    (main results)

4 - Functions: folder containing all the functions called by MainCode.m

/*------------------------------ MainCode.m ---------------------------*/

This file contains the code for replicating the main results of the
paper reported in Table 2. The code uploads the data from the
DataSet.txt file and estimates the reduced form VAR coefficients in
the three volatility regimes and then, through ML, the structural
parameters according to the specification discussed in eq. (18) of the
paper. The output of the code consists of a matrix with coefficients
and a matrix with standard errors, for each regime. The first part of
the output refers to the upper panel of Table 2 (2 overidentification
restrictions) while the second part refers to the lower panel of Table
2 (4 overidentification restrictions). Finally, for each of the two
parts the code shows the associated results of the LR
overidentification test. The results will be displayed on the Matlab
Command Window.

/*---------------------------- DataSet.xlsx ---------------------------*/

This file contains, in the first sheet, the data concerning the
following variables:

1 - UF1: Measure of 1-period-ahead financial uncertainty
2 - UF12: Measure of 12-period-ahead financial uncertainty
3 - UM1: Measure of 1-period-ahead macroeconomic uncertainty
4 - UM12: Measure of 12-period-ahead macroeconomic uncertainty
5 - UR1: Measure of 1-period-ahead real uncertainty
6 - UR12: Measure of 12-period-ahead real uncertainty
7 - Dprod: Growth rate of industrial production (%) 
8 - Dlemp: Growth rate of employment (%)  
9 - BAA_AAA (CS): Spread between yields on Baa- and Aaa rated long-term
    industrial corporate bonds 

The second sheet contains a brief description of the variables and the
related source.

/*----------------------------- DataSet.txt ---------------------------*/

This file contains the data concerning the following variables:

1 - UF1: Measure of 1-period-ahead financial uncertainty
2 - UF12: Measure of 12-period-ahead financial uncertainty
3 - UM1: Measure of 1-period-ahead macroeconomic uncertainty
4 - UM12: Measure of 12-period-ahead macroeconomic uncertainty
5 - UR1: Measure of 1-period-ahead real uncertainty
6 - UR12: Measure of 12-period-ahead real uncertainty
7 - Dprod: Growth rate of industrial production (%) 
8 - Dlemp: Growth rate of employment (%)  
9 - BAA_AAA (CS): Spread between yields on Baa- and Aaa rated long-term
    industrial corporate bonds 

This is the file uploaded by the MainCode.m for estimating the
parameters.

/*---------------------------- Functions ------------------------------*/

Folder containing all the functions called by MainCode.m

1 - Likelihood_UNRESTRICTED.m: obtains the reduced form parameters

2 - Likelihood_SVAR_Restricted_Upper.m: obtains the structural
    parameters in the upper panel of Table 2

3 - Likelihood_SVAR_Restricted.m: obtains the structural parameters in
    the lower panel of Table 2