James D. Hamilton, "Measuring Global Economic Activity," Journal of
Applied Econometrics, Vol. 36, No. 3, 2021, pp. 293-303.

All files are stored in jdh-files.zip. Data and replication code are
organized in the following directories:

uncover_nominal_x -- data and code to uncover nominal Kilian index

  cpi_all_vintages_full.csv -- monthly data 1968:1-2018:6 for CPI as reported
  at different dates, from ALFRED
	(1) date
	(2) July 2018 vintage
	(3) Feb 2008
	(4) Oct 2009
	(5) Apr 2018
	
  orig_data.csv -- monthly data 1968:1-2018:6
	(1) date
	(2) BDI (monthly averages of daily rates)
	(3) CPI (July 2018 vintage)
	(4) REA from Kilian and Murphy (2014) (from the JAE database)
	(5) REA from Kilian (2009) (from the AER database)
	(6) REA downloaded from Kilian's webpage July 2018
	
    reverse_kilian.rpf-- RATS code to uncover x by nonlinear least squares
    reverse_kilian.out-- output from executing reverse_kilian.rpf
    reverse_output.xls-- reverse_kilian.out read into an excel file
	(1) date
	(2) nominal index inferred from Kilian and Murphy (2014) version of
	    data
	(3) nominal index inferred from Kilian webpage version of data
	(4) BDI
	(5) merged version of (2) and (3)
	
graphs -- data and code to plot graphs in paper
  reverse_output.csv -- reverse_output.xls in csv format
	(1) date
	(2) nominal index inferred from Kilian and Murphy (2014)
            version of data
	(3) nominal index inferred from Kilian webpage version of data
	(4) BDI
	(5) merged version of (2) and (3)
	
  final_data.csv -- monthly data 1958:1-2018:6
	(1) date
	(2) industrial production index for OECD + 6 major countries
	(3) nominal index x
	(4) Kilian real activity index
	(5) CPI vintage July 2018
	
  rea_monthly.csv -- monthly data 1958:1-2018:6
	(1) date
	(2) industrial production index for OECD + 6 major countries
	(3) BDI
	(4) Real activity index downloaded from Kilian's webpage July 2018
	(5) CPI vintage July 2018
	(6) Real activity index downloaded from Kilian's webpage April 2019
	(7) Month of year
	
  figs1_2.rpf -- RATS code to generate Figures 1 and 2
  figs3_4.rpf -- RATS code to generate Figures 3 and 4
     fig5.rpf -- RATS code to generate Figure 5
     fig5.out -- ASCII file with output from running fig5.rpf (includes
                 printed values of series plotted in Fig 5)

unit roots -- data and code for unit-root tests in Section 2.1

  unit_roots.rpf-- RATS code to perform tests
  unit_roots.out-- ASCII file with output from running unit_roots.rpf

GDP -- data and code for looking at correlations with GDP growth in Section 2.2

  gdp.csv -- Growth rate of world GDP, annually from 1961 to 2017
  
  rea_month12.csv -- Annual data, 1958 to 2017
	(1) year
	(2) world industrial production as of December in that year
	(3) BDI as of December in that year
	(4) Kilian's index of real economic activity for Dec of that year as
	    downloaded from Kilian's webpage July 2018
	(5) CPI for Dec of that year (vintage July 2018)
	(6) Kilian's index of real economic activity for Dec of that year
	    as downloaded from Kilian's webpage April 2019
	(7) month of year
	
  rea_month6.csv-- Annual data, 1958 to 2017
	(1) year
	(2) world industrial production as of June in that year
	(3) BDI as of June in that year
	(4) Kilian's index of real economic activity for June of that year
	    as downloaded from Kilian's webpage July 2018
	(5) CPI for June of that year (vintage July 2018)
	(6) Kilian's index of real economic activity for June of that year
	    as downloaded from Kilian's webpage April 2019
	(7) month of year
	
  linregs_annual.rpf -- RATS code to run regressions of Section 2.2
  linregs_annual.out -- ASCII file with output from running linregs_annual.rpf

prices -- data and code for looking at commodity price forecasts in Section 2.3

  rea_monthly.csv -- Monthly data, 1958:1 to 2018:12
	(1) date
	(2) world industrial production
	(3) BDI 
	(4) Kilian's index of real economic activity as downloaded from
	    Kilian's webpage July 2018
	(5) CPI (vintage July 2018)
	(6) Kilian's index of real economic activity as downloaded from
	    Kilian's webpage April 2019
	(7) month of year
	
  commodity_prices.csv-- Monthly data, 1960:1 to 2019:3
	(1) date
	(2) energy
	(3) non_energy
	(4) agriculture
	(5) base_metals
	(6) crude_oil
	(7) soybeans
	(8) aluminum 
	(9) copper
  
  linregs_monthly.rpf-- RATS code to run regressions of Section 2.3
  linregs_monthly.out-- ASCII file with output from running linregs_monthly.rpf

daily -- data and code for daily index

  bdi_daily.csv-- daily data March 16, 2009 to July 16, 2018
	(1) value of Baltic Dry Index
	(2) year
	(3) month
	(4) day
	(5) complete date
  
  cpi_monthly.csv-- monthly data Jan 2009 to June 2018
	(1) value of consumer price index as reported in July 2018
	(2) year
	(3) month
  
  make_daily_cpi.m -- Matlab code to interpolate CPI
  
  cyc relative price -- Excel spreadsheet to calculate and plot log of daily
                        real cost of shipping