Elana Pesavento and Barbara Rossi, "Small Sample Confidence Intervals for Multivariate Impulse Response Functions at Long Horizons", Journal of Applied Econometrics, Vol. 21, No. 8, 2006, pp. 1135-1155. All data files, which are ASCII files in DOS format, are zipped in the file prdata.zip. The data are similar to the ones used by Eichenbaum and Evans (1995). Each foreign country file has around 358 observations (the exact number depends on the sample end point). Each column in order represents Industrial Production, CPI, Interest Rates, and Nominal Exchange Rates. The file for the US data has in order Industrial Production, CPI, Interest Rates, Federal Fund Rate, Total Reserve, Non Borrowed Reserve. Data for US are from FRED except for CPI as it was on a different base year. Data for foreign countries are from IFS/IMF data base Data are monthly starting in 1973:1 and ending at different points for various countries: usdata - 2002:9 ukdata - 2002:9 gerdata - 2001-12 japdata - 2002:9 itadat - 2001:5 fradata - 1999:3 (missing data in 1983: 3,4,5 for int rates) ***** All program files are zipped in the file prprogs.zip. The programs require the use of Gauss TSM Package. All other procedure are included. eeindata.gss ==> loads the data in txt file and saves them in Gauss matrix format in \fmt. ciuplow.gss ==> Program to compute percentiles matrices for EJP test for a given RSQ and other tests. pretest05.gss ==> Program to compute coverage rates and median length for the multivariate example in the paper for RSQ=0.5. (Figure 1 and Table 1) Need to load different percentiles matrices for a different RSQ. MC052r.gss ==> Program to test the robustness of our approach to deviation of the second root from unity (Figure 2) 2roots2.gss ==> Program to compute coverage for two local to unity roots. (Figure 3). ee.gss ==> Gauss program to replicate the results in Section 7 of the paper. Gauss TSM package is NECESSARY to run the program. (Figure 4 and Table 3) srmethod.gss ==> Program to compute the coverage rate for the suggested method robust at short run. (Table 2) \fmt ==> Directory containing the necessary data in Gauss matrix format needed to computer the confidence intervals including the estimated critical values. A detailed description of the procedure is available in the paper. NOTE: Because the binary files in the \fmt directory take up a great deal of space and can be generated from the data files, they are not included in the JAE Data Archive. They can be obtained from http://www.elenapesavento.com under research. \out ==> Directory used to store the output files. The eps files with the graphs are not stored in the \out directory. *.prc ==> All the procedures used in the different programs.