Martin M. Andreasen, "Non-linear DSGE Models and the Central
Difference Kalman Filter", Journal of Applied Econometrics,
Vol. 28, No. 6, 2013, pp. 929-955.

All data are in the file am-data.txt, an ASCII file in DOS format that
is zipped in am-data.zip. Unix/Linux users should use "unzip -a".

The file am-data.txt contains the following data series:

column 1: The time index, where we adopt the convention that 1957 equals
          1956Q4, 1957.25 equals 1957Q1, 1957.5 equals 1957Q2, 1957.75
	  equals 1957Q3, etc.

column 2: The three month interest rate (expressed quarterly). 

column 3: The quarterly inflation rate.

column 4: The quarterly consumption growth rate.

column 5: The quarterly investment growth rate.

column 6: The quarterly growth rate in GDP.

The data are from the Federal Reserve Bank of St. Louis. 

The quarterly interest rate is measured by the rate in the secondary
market (TB3MS). 

The quarterly inflation rate is for consumer prices. 

The growth rate in consumption is calculated from real consumption
expenditures (PCECC96). 

The series for real private fixed investment (FPIC96) is used to
calculate the growth rate in investment. 

The growth rate in output is calculated from real GDP (GDPC96). 

All growth rates are expressed in quarterly terms and in per capita
based on the total population in the US.