Andrew C. Harvey and Stephen Thiele, "Co-Integration and Control: Assessing the Impact of Events using Time Series Data", Journal of Applied Econometrics, Vol. 36, No. 1, 2021, pp. 71-85. The paper features two empirical applications. The data for both of them are provided in .csv files, which are ASCII files in DOS format. Both files are zipped in the file ht-data.zip. Unix/Linux users should use "unzip -a". Estimation was performed using the STAMP package for Oxmetrics. This package provides a point-and-click interface to estimate structural time series models such as those used in the paper. See Koopman, S.J., A.C. Harvey, J.A. Doornik and N. Shephard (2008). STAMP 8.2 Structural Time Series Analyser, Modeller and Predictor, London: Timberlake Consultants Ltd. The raw data files for the two applications in the paper are provided to enable replication. 1. Smoking in California This application first appears in the following paper Abadie, A., Diamond, A., and J. Hainmueller. (2010) Synthetic control methods for comparative case studies: Estimating the effect of California's tobacco control program. Journal of the American Statistical Association, 105, 493-505. The .csv data file provided includes annual cigarette sales from 1970-2000 across 39 states as used in our paper. The first row contains state names, and the first column contains the years. 2. German Reunification This application first appears in the following paper Abadie, A., Diamond, A., and J. Hainmueller. (2015) Comparative politics and the synthetic control method. American Journal of Political Science, 59, 495-510 The .csv data file provided includes annual GDP in levels from 1971-2003 across 16 OECD countries (the donor pool) and West Germany as used in our paper. The first row contains country names, and the first column contains the years.