This replication file contains data and programs for the paper

"Core Inflation and Trend Inflation"

by James Stock and Mark Watson

June 2015

Data:  Data are contained in the subdirectory "data"

Programs:  All calculations are carried out using MATLAB (R2014b)

Matlab progams for the project are in the "matlab" directory.
These use a variety of utility programs that are in the directory "matlab_utility_programs" -- make sure this directory is in your MATLAB path.

UCSV Models:

The various UCSV models are computed in the programs:

uscv_agg_all.m:  Univariate PCE-all
uscv_agg_all_no_outlier.m:  Univariate PCE-all without outlier term.
uscv_agg_xfe.m:  Univariate PCExFE
uscv_agg_xe.m:  Univariate PCExE
mucsv_tvp_17c.m:  Multivariate 17-component model
mucsv_tvp_3c.m: Multivariate 3-component model

Note: These programs use 100,000 MCMC draws (following 10,000 burnin draws).  All draws are save in memory for processing.  For the 17-component model, this requires quite a lot of memory.  Memory requirements can be reduced by reducing the number of MCMC draws and/or modifying the program so that not all results are stored in memory at the same time.



Results reported in Paper:
 Table 1:  Tab_1.m
 Table 2: Tab_2.m
 Table 3: Tab_3.m
 Table 4: Tab4_and_Fig_11.m
 Figures 1, 2, 3, 4, and 10: Fig_1_2_3_4_10.m
 Figures 5 and 6: Figure_5_6.m
 Figure 7-9: Figure_7_8_9.m
 Figure 11: Tab4_and_Fig_11.m