Helmut Herwartz, "Long-Run Neutrality of Demand Shocks -- Revisiting
Blanchard and Quah (1989) with Independent Structural Shocks", Journal
of Applied Econometrics, Vol. 34, No. 5, 2019, pp. 811-819.

All data are in the file herwartz-data.txt, which is an ASCII file in
DOS format. It is zipped in the file hh-data.zip.

The data used in this paper were taken from the the example data
(Blanchard-Quah.dat) provided with the freely available software
JMulTi. See

  "VECM analysis in JMulTi," Lütkepohl and Krätzig 2005,
  http://www.jmulti.de/

The data file includes in its second column the series entitled
"Delta gdp(t)" (lines 1-159) and "ue" (lines 164-322). The first
column is a time indexation. 

The following lines are ONE-TO-ONE COPIED from the top of the data
file provided in JMulTi:

/*

U.S. time series for

- growth rate of output (DQ)
- civilian unemployment rate (U)

Original time series are from the 
Journal of Applied Econometrics (JAE) data archive 
(see data from Weber, C.E. (1995). Cyclical Output, cyclical unemployment,
and Okun's coefficient: A new approach, Journal of Applied 
Econometrics, Vol. 10, pp. 433-335.).

The data included in this file are obtained by the 
following transformations:


DQ: 

1.) 1st differences of 100*log(real GNP) is taken, where "real GNP" is
    from the Weber data.

2.) The 1st differences are regressed on a constant and step dummy (1
    after 1973Q4, 0 = else) in order to demean and adjust for the change
    in the output growth rate.

3.) DQ is given by residuals from the regression in 2.).
    
  
U:

1.) The monthly unemployment rate series from the Weber data is
    converted to quarterly frequency by averaging the monthly values.

2.) To account for a linear trend, the quarterly data are regressed on
    a constant and a deterministic trend (using observations for
    1948Q2-1987Q4).

3.) U is given by residuals from the regression in 2.).

*/