“Why Are Unobserved Component andBeveridge-Nelson Trend-Cycle Decompositions of GDP So Different?” Review ofEconomics and Statistics with Charles R. Nelson and Eric Zivot
uc_ur.opt(GAUSS program. Replicates Table 4 in paper)
arima212.opt(GAUSS program. Replicates Table 2 inpaper. The arima212.dta output file from this program can be used in thecalculation of the BN decomposition using bn.prg)
bn.prg(GAUSS program. Replicates Figure 2 in paper. Makes use ofstate-space approach to calculating the BN decomposition discussed in Morley(2002))
lngdpq.txt(data file)