ct_dsge/data

This folder is part of the replication package for the paper: “Estimation of continuous-time linear DSGE models from discrete-time measurements” by B.J. Christensen, L. Neri, and J.C. Parra-Alvarez

Overview

The data folder contains

1. dataset.xlsx contains U.S. on aggregate consumption, the average amount of hours worked and the interest rate for the period 1960:Q1 through 2019:Q4. All variables are obtained from the Federal Reserve Economic Data (FRED) database.
   • Aggregate consumption is measured by monthly nominal personal consumption expenditures (PCE), deflated by the corresponding monthly price index (PCEPI).
   • Consumption at quarterly frequency is computed by aggregating monthly real expenditures over the quarter.
   • Quarterly hours worked correspond to the number of hours worked by wage and salary workers on nonfarm payrolls (TOTLQ).
   • All variables are transformed into per-capita values using the civilian non-institutional population aged 16 and over (CNP16OV) from the U.S. Bureau of Labor Statistics. With the exception of population, all variables are seasonally adjusted.
   • Nominal 3-month Treasury bill rate (TB3MS) from FRED, deflated using the PCEPI. Observations are end-of-quarter values.

References

For further details, please refer to the full paper:
B.J. Christensen, L. Neri, and J.C. Parra-Alvarez, “Estimation of continuous-time linear DSGE models from discrete-time measurements” (2024) Journal of Econometrics, forthcoming