Mardi Dungey and Denise Osborn "Modelling Large Open Economies with
International Linkages: The US and Euro Area", Journal of Applied
Econometrics, Vol. 29, No. 3, 2014, pp. 377-393.

All files are ASCII files in DOS format. They are zipped in the file
do-files.zip. Unix/Linux users should use "unzip -a".

All data are in the file final_data.txt, which is an ASCII file in DOS
format. This contains the exact dataset used in the paper.

An additional dataset is also provided. The file alternative_data.txt
provides alternative measures of Euro Area inflation as well as
additional measures for long run interest rates in the US and Euro
Area.

The US data are sourced from FRED.

The European data are sourced from both the Area Wide Model dataset 
developed by the European Central Bank; see Fagan, Henry and Mestre
(2005) "An area wide model (AWM) for the euro area" Economic
Modelling, 22: 39-59, for which we used the November 2008 update of
the dataset (note that updates to the output in this series are now
easily collated from Eurostat) and from the dataset collated by
Anderson, Dungey, Osborn, Vahid (2011) "Financial integration and the
construction of historical financial data for the Euro area", Economic
Modelling, 28: 1498-1509 (updates of this dataset are readily
available from the ECB and Eurostat as the paper provided the
historical data for the pre-Euro period).

The dataset contains quarterly data on the following macroeconomic
time series from 1971Q1 through 2008Q1 (the paper is estimated from
1983Q1 to 2007Q4.)

y_us - US real GDP (FRED:GDPC96)

pi_us - US CPI inflation for all urban consumers, quarterly average of
        monthly annual inflation rates (FRED: CPIAUCSL)

r_us - US short run interest rate, quarterly average of 3 month TBill
       rates (FRED: TB3MS)

y_eu - EU real GDP from AWM database (AWM:YER) these can be updated
       using growth rates for GDP from ECB:
       ESA.Q.I4.S.0000.B1QG00.1000.TTTT.L.U.I

pi_eu - until January 1994 we use the ADOV(2011) annual inflation
        rates, from February 1994 these are updated using the quarterly
        average of the HICP inflation rates from ECB: ICP.M.U2.N.000000.4.ANR

r_eu - until December 1991 we use the ADOV(2011) short interest rate,
       from 1992 onwards we use the IBOR.

erate - until December 1998 we use the ADOV(2011) exchange rate for
        EUR/USD, 1999 onwards uses the ECB reference rate

oil - for sensitivity as an exogenous variable the West Texas
      Intermediate annual price change, obtained from (Datastream: OILPRICE)
			

The alternative dataset contains all these variables and a number of
additional ones.  They are ordered in the order in which they enter
the Gauss code provided. NOTE: IN THIS DATASET THE PI_EU USED ABOVE IS
DENOTED PI_EU_ADOV

additional variables:

lr_us - US 10 year interest rate, quarterly average of 10 year bond
        (FRED: GS10)

lr_eu - EU Area long bond rate from ADOV(2011) until December 1991
        then follows ECB benchmark bond from Janauary 1992

r_euAWM - EU short interest rate provided by the AWM database

lr_euAWM - EU long interest rate provided by the AWM database

pi_euAWM - EU inflation rate from AWM database

pi_eu_correct - pi_eu in the first dataset, but without correcting for
                German reunification

pi_eu_adov - pi_eu in the first dataset (the same as pi_eu_correct but
             with the correction for German reunification)
			

Gauss code (using Gauss versions 9 and 11) is provided as
final_code_withbootstrap and the corresponding dataset referenced is
dataset08_2oiladov.txt which is the same file as alternative_data.txt.
This extra datafile is provided only for convenience to run with the
gauss code as it doesn't contain the date and heading labels.