Replication files for "Identification and Estimation of Dynamic Causal 
Effects in Macroeconomics" by James Stock and Mark Watson Draft: June 8, 
2017

The data used the analysis is in the Excel File sargan_gk.xlsx 
(re-written in ASCII form as sargan_gk.m79). In this file, the first six 
series are from FRED (see README tab in the file). The final four series 
in the file (ff4_tc, ebp, mortg_spread,cp3m_spread_m) are from the 
Gilchrist-Karadi replication materials. The data used to estimate the 
macro factors are in fred_md_201704.xlsx, which is from FRED.

(1) The macro factors are computed in fred_md_estimate_factors.m

(2) The results for Tables 1 and 2 in the paper are from 
    Sargan_Tables_1_2.m.  (The program isn't well organized.  Sorry ... )
