**** Data sources
The spreadsheet largedataset_1.xlsx contains the raw data with a description of each series
All data are from FRED at https://research.stlouisfed.org/
The code Master_prepare_data.m transforms the raw data when needed (logs or differences) and generates the file data_20_78.mat 
that is used throughout the empirical analysis. 

To replicate the results of the paper see the description below. 

Replicating Forecasting Exercises.

************ Out of Sample Forecasting
Run the code Master_Forecasting_JAE.m selecting mods either 1 or 2  (mods = 1 for 20 variables model, 2 for 78 variables model)
This runs the out of sample forecasting exercise and stores the results in the folder /output_forecast
Run the code EvaluateForecast_JAE
this produces Tables 3 to 5 in the paper and Charts 1 to 3

************ Structural Analysis 
The code Master_structural_JAE does structural analysis and the charts of the IRFs contained int the paper

************ MONTE CARLO
The code MasterJAE_MCARLO produces the Monte Carlo Estimates
To produce the tables that appear in the paper run the code MasterJAE_tables_Mcarlo

************ Computational Gains exercise
MasterJAE_ComputationalGains estimates the computational gains of parametric and non parametric estimators that are discussed in the paper Appendix