Harvey,A. AFE(2011) Modelling the Phillips curve

[hardmann]

Dear Tom:

Could you give the Replication Examples of Andrew Harvey.Modelling the Phillips curve with unobserved components.Applied Financial Economics, 2011, 21, 7–17


Thanks

[TomDoan]

Again, if you can get the data, I'll look at it.

[hardmann]

Dear Tom:

I had emailed to Prof. Harvey for data of his paper, Modelling the Phillips curve with unobserved components. He respond that the data source is given in th e paper. His paper said that The model is developed with US data. Output is measured by the logarithm of quarterly real US GDP, while the (annualized) rate of inflation, is measured as the first differences of the quarterly Consumer Price Index (CPI) multiplied by four. We have data from January 1947 to February 2007, obtained for GDP from Department of Commerce (website: www.bea.gov) and, for CPI, US Bureau of Labor Statistics (website: www.bls.gov). There is a case for starting estimation in January 1952.

Best Regard
Hardmann

[TomDoan]

Dear Tom:

I had emailed to Prof. Harvey for data of his paper, Modelling the Phillips curve with unobserved components. He respond that the data source is given in th e paper. His paper said that The model is developed with US data. Output is measured by the logarithm of quarterly real US GDP, while the (annualized) rate of inflation, is measured as the first differences of the quarterly Consumer Price Index (CPI) multiplied by four. We have data from January 1947 to February 2007, obtained for GDP from Department of Commerce (website: http://www.bea.gov) and, for CPI, US Bureau of Labor Statistics (website: http://www.bls.gov). There is a case for starting estimation in January 1952.

Best Regard
Hardmann

If you want to try to re-assemble the data, go ahead. However, I have never been able to reconstruct a data set exactly given instructions like that. (In some cases, the results have been so far off that I'm fairly sure that the data that were used were not what was described in the data appendix).