Structural Macroeconometrics : Data and Code

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.

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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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Chapter 2

Sims' Method: Chris Sims' Website

GAUSS Code for Executing Sims' Method

Klein's Method: Paul Klein's website

Undetermined Coefficients: Harald Uhlig's website

Chapter 3

Description of RBC Data

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

Chapter 4

VAR Estimation: var.src

ARMA Impulse Responses: armaimp.prc

Kalman Filter (no measurement error): kalman.prc

Kalman Filter (measurement error): kalmanm.prc

Chapter 6

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

Chapter 7

Chapter 8

Chapter 9

Description of S&P Data

S&P Data

Obtain Drawings from Normal/Inverted-Wishart Distributions

Obtain Drawings from Multivariate-t Distributions

Chapter 10

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

Chapter 11

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