Jinho Choi, Juan Carlos Escanciano, and Junjie Guo, "Generalized Band
Spectrum Estimation with an Application to the New Keynesian Phillips
Curve", Journal of Applied Econometrics, Vol. 37, No. 5, 2022,
pp. 1055-1078.

All files are ASCII files in DOS format. They are stored in the file
ceg-files.zip.

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The folder called "data" includes the datasets we use in the application.
These datasets are parts of the data in Mavroeidis et al (2014).

replication_1998.csv and replication_2012.csv are vintage datasets 
released in 1998 and 2012, respectively. There are 4 quarterly 
variables in each csv file (1969 Q1 to 1998 Q2).

-- pi: inflation rate
-- x:  labor share
-- y:  quadratically de-trended output gap
-- wi: wage inflation

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The folder called "example" includes example codes.

GBSE_est.m is the main function for estimation using GBSE described in
the paper.  Inputs include: independent variables (X), dependent
variable (Y), instruments (Z) and the frequency band (omega). Notice
that the range for omega is between 0 and 1. Output are coefficients
(theta), standard error (se) and the weighting matrix (W).

example_code.m is an example that illustrates how to apply GBSE to
estimate NKPC using post WWII US data.Readers who are interested in
BSGMME can also apply BSGMME.m to estimate NKPC.

The folder called "auxiliary" includes auxiliary functions for
estimation.

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Reference:

Mavroeidis, S., M. Plagborg-Mueller, and J. H. Stock (2014), "Empirical
evidence on inflation expectations in the New Keynesian Phillips
Curve," Journal of Economic Literature, 52(1), 124-188.