Mengheng Li and Siem Jan Koopman, "Unobserved Components with Stochastic 
Volatility: Simulation-Based Estimation and Signal Extraction", Journal 
of Applied Econometrics, Vol. 36, No. 5, 2021, pp. 614-627.

All data and program files are zipped in lk-files.zip. Text files are
in DOS format.

1. "US_Data.csv" contains the US quarterly CPI inflation (first
difference of logarithm of CPI index from
https://fred.stlouisfed.org/series/CPALTT01USQ661S), from 1960Q1 to
2017 Q1. In total there are 229 observations. The first column is the
date, and the second column collects the data.

2. "UCSV.ox" is the program code. It requires OxMetrics 7 or 8,
Enterprise Edition
(https://www.timberlake.co.uk/software/oxmetrics.html), and the
SsfPack 3.0
(https://www.timberlake.co.uk/software/oxmetrics.html#ssfpack), the
extended version. 

3. "GH_10.xlsx" contains the tabulated Gauss-Hermite nodes and
weights, which the program code needs. Users can also download and use
their own nodes and weights, e.g. from
https://keisan.casio.com/exec/system/1281195844.

4. To use the program code, simply put the three afrementioned files
in one folder and double click "UCSV.ox" with OxMetrics 7 or 8
installed.

5. "LK-appendix.pdf" is the online supplementary appendix accompanying
the main paper. This appendix is not to be published.