The purpose of this website is to give readers access to data and computer code employed and/or referenced in the text Structural Macroeconometrics. The authors kindly request that users adhere to the following conditions in using this material.
The computer code provided here for downloading are a mix of code written by the authors and code adopted by the authors from freely available code provided by other researchers. To the extent possible the authors have attempted to acknowledge the input of others in developing this code. Except for the sole purpose of academic research, distribution of these (possibly user-modified) code is prohibited. The authors request that use of these code in published work be acknowledged by citation of the textbook Structural Macroeconometrics, as well by the citation of any other researchers recognized within the documentation that accompanies the code.
In addition to code available for downloading here, links are provided to websites from which additional code cited in the text may be obtained. The authors kindly request that users adhere to conditions posted at each website linked to this site.
The data sets provided here have been compiled from various sources: each data set has an accompanying readme file that describes the data and indicates sources. In many cases the data provided here were obtained from other researchers. Such cases are acknowledged in the corresponding readme files; in such cases, the authors kindly request that the use of these data in published work be acknowledged by citation of the indicated researchers.
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Sims' Method: Chris Sims' Website
GAUSS Code for Executing Sims' Method
Klein's Method: Paul Klein's website
Undetermined Coefficients: Harald Uhlig's website
Description of RBC Data
Estimation of Common Trends: ct.prc
Estimation of Spectra (ARMA): spec_arma.prc
Estimation of Spectra (VAR): spec_var.prc
Hodrick-Prescott Filter: hpfilter.prc
Band-Pass Filter: bpass.src
VAR Estimation: var.src
ARMA Impulse Responses: armaimp.prc
Kalman Filter (no measurement error): kalman.prc
Kalman Filter (measurement error): kalmanm.prc
Description of Data Set Used to Replicate Lucas' Welfare Cost Calculation
Data Set Used to Replicate Lucas' Welfare Cost Calculation
Link to the Original Mehra/Prescott Data Set
Text File of Mehra/Prescott Data Set
Description of Extended Mehra/Prescott Data Set
Extended Mehra/Prescott Data Set
Procedures for Calculating Watson's Measure of Fit:
Calculate Spectra for Vector of Time Series: dataspec.prc
Calculate Spectra for Model Data: modspec.prc
Calculate Spectra for Error Series: errspec.prc
Description of S&P Data
Obtain Drawings from Normal/Inverted-Wishart Distributions
Obtain Drawings from Multivariate-t Distributions
Solve Deterministic Optimal Growth Model Using Projection Algorithm
Solve Stochastic Optimal Growth Model Using Orthogonal Collocation, Markov Process for a
Solve Stochastic Optimal Growth Model Using Orthogonal Collocation, Log-Normal Process for a
Solve Stochastic Optimal Growth Model Using Log-Linearization
Solve Stochastic Optimal Growth Model Given Delta-Rho=1
Gauss-Hermite Weights and Nodes
Gauss Code For Implementing the Particle Filter
Fortran Code For Implementing the Particle Filter
Access Paper and Associated Code for Improving Upon the Efficiency of the Particle Filter