Replication files for:

"Comovement of Economic Activity During the Covid Recession" 

Danila Maroz, James Stock, and Mark Watson

December 2021

Data: All data are in the data directory. (The data are downloads from FRED and the BEA).

Programs: All calculations are carried out in Matlab

The progam Factor_Models_Analysis.m is the main program that generates all results shown in the paper. 

The progam Factor_Models_Analysis_2Factor.m carries out the analysis using k=2 pre-Covid factors instead of the three used in the benchmark model.

Note 1: Both programs can be modified to show the OLS estimates instead of the WLS results.  (See comments in the programs.)

Note 2: The programs must be run from the 'matlab' directory. (Clumpsy programming required to read the data in correctly.)
