Andrea Carriero, Todd E. Clark, and Massimiliano Marcellino, "Assessing International Commonality in Macroeconomic Uncertainty and Its Effects", Journal of Applied Econometrics, Vol. 35, No. 3, 2020, pp. 273-293. This file describes the data and computer programs used to produce the results in the published paper, as updated in 2021 following the discovery of a mistake in the algorithm used to estimate the models. The main changes or updates to programs are to the three procedures used to estimate the BVAR-SV and BVAR-GFSV models and to some of the prior settings in the programs used to estimate the models. The PDF file containing the draft errata provides more information on the changes. All files are stored in ccm-files-2022.zip. ******************** DIRECTORY STRUCTURE: ******************** root folder: computer programs in RATS that read in and transform data, call procedures, and produce the results provided in the paper data folder: files of time series data used in RATS programs detailed below procedures folder: computer programs in RATS for model estimation and computation of impulse responses and hist. decompositions, called by other programs estimatesforfigures folder: files of estimates read in by the programs that create the paper's charts Note: The folders "draws_3economies" and "draws_19countries" are needed for the programs to run successfully. These folders are used to store draws of parameters and latent states. In this archive, the folders are empty to save considerable space, but included so that the programs will run in the home folder without error. ****************** DATA FOLDER FILES: ****************** The following contains the time series of data used in the article (at either the quarterly or monthly frequency), with rows corresponding to dates and columns to variables. The first row lists the variables. The first column in each file provides the dates of the observation. Quarters 1, 2, 3, and 4 are labeled as either months 1, 4, 7, and 10, respectively, or months 3, 6, 9, and 12, respectively. We provide the data in Excel files. GCPdata.xlsx: quarterly data for the U.S. and euro area, obtained from the files of the RESTAT paper by Jarocinski and Mackowiak (2017) GDP_OECD.xls: quarterly data on GDP by country, obtained from the OECD's website UK_Haver.xlsx: quarterly and monthly data (different frequencies in different tabs) for the UK, obtained from Haver Analytics. Note that monthly data are converted to quarterly as simple time averages (before transformation by log or log difference). ************************ PROCEDURES FOLDER FILES: ************************ Note: all files use the software programming language RATS. Estimation of the BVAR-SV and BVAR-GFSV models uses Bayesian methods. BVARBE.SV.src: for estimation of BVAR-SV model BVARGFSV.GFSV.src: for estimation of BVAR-GFSV model applied to 19-country GDP dataset BVARGFSV.GFSV_restricted.src: for estimation of restricted BVAR-GFSV model applied to 3-economy dataset impresp.GFSV.src: for computation of impulse responses to uncertainty shock, BVAR-GFSV model, using parameter/state draws produced and stored by BVARGFSV.GFSV.src (19 country) impresp.GFSV_restricted.src: for computation of impulse responses to uncertainty shock, restricted BVAR-GFSV model, using parameter/state draws produced and stored by BVARGFSV.GFSV_restricted.src (3 economy) histdecomp.GFSV.src: for computation of historical decomposition, BVAR-GFSV model, using parameter/state draws produced and stored by BVARGFSV.GFSV.src (19 country) histdecomp.GFSV_restricted.src: for computation of historical decomposition, restricted BVAR-GFSV model, using parameter/state draws produced and stored by BVARGFSV.GFSV_restricted.src (3 economy) ***************************** PROGRAM FILES in root folder: ***************************** NOTES: (1) The programs listed below read in and transform as needed the data and call the procedure files to produce estimates. (2) Some of these programs take a long time to complete (if producing 5000 retained draws; for development or experimentation, reducing the number of draws speeds calculation considerably). BVARSV_19countries.prg: Estimates BVAR-SV model for 19 country GDP dataset and produces principal component estimates of common volatility and related factor statistics BVARSV_EAonly.prg: Estimates BVAR-SV model for the euro area variables included in the 3 economy dataset BVARSV_UKonly.prg: Estimates BVAR-SV model for the UK variables included in the 3 economy dataset BVARSV_USonly.prg: Estimates BVAR-SV model for the US variables included in the 3 economy dataset BVARSVPCanalysis_3economies.prg: Reads in the BVAR-SV log volatility estimates for the EA, UK, and US produced by the programs BVARSV_EAonly.prg, BVARSV_UKonly.prg, and BVARSV_USonly.prg and produces principal component of common volatility and related factor statistics GFSV_3economies.prg: Estimates restricted BVAR-GFSV model for the 3-economy dataset, estimates impulse responses for uncertainty shocks, and writes parameter/state draws used separately to compute historical decompositions GFSV_19countries.prg: Estimates BVAR-GFSV model for the 19-country GDP dataset, estimates impulse responses for uncertainty shocks, and writes parameter/state draws used separately to compute historical decompositions HDcalc_3economies.prg: Reads in data and draws of parameter/state estimates to compute historical decomposition for the restricted BVAR-GFSV model applied to the 3-economy GDP dataset HDcalc_19countries.prg: Reads in data and draws of parameter/state estimates to compute historical decomposition for the BVAR-GFSV model applied to the 19-country GDP dataset Figure1.prg: Reads in the data/estimates needed to produce color version of the paper's Figure 1 Figure2.prg: Reads in the data/estimates needed to produce color version of the paper's Figure 2 Figure3.prg: Reads in the data/estimates needed to produce color version of the paper's Figure 3 Figure4.prg: Reads in the data/estimates needed to produce color version of the paper's Figure 4 Figure5.prg: Reads in the data/estimates needed to produce color version of the paper's Figure 5 Figure6.prg: Reads in the data/estimates needed to produce color version of the paper's Figure 6 Figure7.prg: Reads in the data/estimates needed to produce color version of the paper's Figure 7 Contact information: todd.clark [AT] researchfed.org, (216) 579-2015.