Giovanni Angelini, Giuseppe Cavaliere, and Luca Fanelli "Bootstrap
Inference and Diagnostics in State Space Models: with Applications to
Dynamic Macro Models", Journal of Applied Econometrics, Vol. 37, No. 1,
2022, pp. 3-22.

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

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

1 -- Figure2_Table3.m: creates the upper panel of Table 2 and left
     panel of Figure 3 of the paper. No estimation part in this code. The
     results will be displayed on the Matlab Command Window.

2 -- GQ_MainCode.m: Main code to estimate the DSGE model described in
     Section 5.1. The code uploads the data from the file Dataset.xls. This
     code creates a mat file named Alpha_GQ_T98_B1999_Param1-XXXXXXXX.mat.
     Then use the file Figure2_Table3.m to print the results (modify lines
     15-16 in the code Figure2_Table3.m).

3 -- Functions: folder containing the functions used in the files
     GQ_MainCode.m and Figure2_Table3.m

4 -- Data: folder containing the Dataset 

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

Folder containing the necessary codes in order to replicate part of
the results of Section 6 of the Paper:

1 -- GQ_innovationsKF.m: computes the innovations of the State Space

2 -- GQ_logLK.m: computes the log-likelihood of the State Space using
     Kalman Filter

3 -- GQ_logLK_OuterProduct.m: computes the log-likelihood of the State
     Space using Kalman Filter for the variance\covariance in eq. 20
 
4 -- GQ_Solution.m: finds the solution of the DSGE model

5 -- Alpha_GQ_T98_B1999_Param1.mat: empirical results presented in the
     paper.

6 -- swtest.m: Shapiro and Wilk's (1965) normality test

7 -- DorHanomunortest: Doornik and Hansen's (2008) normality test

8 -- fanchart: Matlab suite for fancharts

/*----- Data -----*/

Folder with the datasets in .txt and .xls format:

1 -- Dataset.txt

2 -- Dataset.xls

The two files contain the following variables from 1984:Q2-2008:Q3,
source FRED (https://fred.stlouisfed.org/):

  -- Inflation rate (column 1)

  -- Interest rate (column 2)

/*----------*/

For further information on this code, write to g.angelini [AT] unibo.it.