Yohei Yamamoto and Naoko Hara, "Identifying Factor-Augmented Vector
Autoregression Models via Changes in Shock Variances," Journal of
Applied Econometrics, Vol. 37, No. 4, 2022, pp. 722-745.

All files are stored in yh-files.zip. Data and replication code
(programmed by MATLAB R2020a Mac version) are organized in the
following directories:

main.m            : replicates the empirical results in the paper 

lib/
  bootfm.m        : generates the bootstrapped observations
  bootvar2.m      : generates the bootstrapped factors
  crdataset.m     : constructs the dataset used in the paper
  duplication.m   : computes a duplication matrix for an r-by-r matrix
  irfgen.m        : computes impulse responses
  pcestim.m       : estimates principal components
  test_ident.m    : runs the test for identification condition
  test_overident.m: runs the overidentifying restrictions test
  varestim_gls2.m : estimates a VAR model by GLS

data/
  USDataFin.xlsx  : datafile

------------------------------------------------------------
[Description of data]

a) 3-month eurodollar futures rate
Header: ED03
Downloaded from Datastream (IEUCM03) and are not available for redistribution.
A blank column for the data is provided in the spreadsheet.

b) Spreadsheet: StockPrices
-- Standard & Poor's 500 Index
Header: SP500
Downloaded from Datastream (S&PCOMP) and are not available for redistribution.
A blank column for the data is provided in the spreadsheet.

-- NASDAQ Composite Index
Header: NASDAQ
Downloaded from Datastream (NASCOMP) and are not available for redistribution.
A blank column for the data is provided in the spreadsheet.

-- Dow Jones Industrial Averages
Header: DJIA
Downloaded from Datastream (DJINDUS) and are not available for redistribution.
A blank column for the data is provided in the spreadsheet.

-- Wilshire 5000 Price Index
Header: WILS5000
Downloaded from Datastream (WIL5TMK) and are not available for redistribution.
A blank column for the data is provided in the spreadsheet.

-- Russell 2000 Index
Header: RUS2000
Downloaded from Datastream (FRUSSL2) and are not available for redistribution.
A blank column for the data is provided in the spreadsheet.

c) Spreadsheet: TreasuryYields
-- U.S. Treasury zero-coupon yields
Header: TR6M(maturities of 6 months), TR01(1 year), TR02(2 years),
TR05(5 years), TR10(10 years), and TR30(30 years)
Downloaded from Board of Governors of the Federal Reserve System.

d) Spreadsheet: CBYields
-- Moody's Seasoned Aaa Corporate Bond Yields
Header: CBAAA
Downloaded from Datastream (FRCBAAA) and are not available for redistribution.
A blank column for the data is provided in the spreadsheet.

-- Moody's Seasoned Baa Corporate Bond Yields
Header: CBBAA
Downloaded from Datastream (FRCBBAA) and are not available for redistribution.
A blank column for the data is provided in the spreadsheet.

e) Spreadsheet: Forex
-- Euro/US dollar nominal spot exchange rate
Header: USDEUR
Downloaded from Datastream (USDEUR: USD/Euro) and are not available for
redistribution. A blank column for the data is provided in the spreadsheet.

-- Yen/US dollar nominal spot exchange rate
Header: USDJPY
Downloaded from Datastream (USJAPYN) and are not available for redistribution.
A blank column for the data is provided in the spreadsheet.

-- Pound/US dollar nominal spot exchange rate
Header: USDGBP
Downloaded from Datastream (USBRITP) and are not available for redistribution.
A blank column for the data is provided in the spreadsheet.

-- Canadian dollar/US dollar nominal spot exchange rate
Header: USDCAD
Downloaded from Datastream (USCDNDL) and are not available for redistribution.
A blank column for the data is provided in the spreadsheet.

-- Australian dollar/US dollar nominal spot exchange rate
Header: USDAUD
Downloaded from FRED (DEXUSAL)
https://fred.stlouisfed.org/series/DEXUSAL
The data source is Board of Governors of the Federal Reserve System.

f) Spreadsheet: ComPrices
-- West Texas Intermediate crude oil price index
Header: WTI
Downloaded from Datastream (CRUDOIL) and are not available for redistribution.
A blank column for the data is provided in the spreadsheet.

-- S&P GSCI Crude Oil Index
Header: GSCIOIL
Downloaded from Datastream (GSCLSPT) and are not available for redistribution.
A blank column for the data is provided in the spreadsheet.

-- S&P GSCI Gold Index
Header: GSCIGOLD
Downloaded from Datastream (MLCXGCS) and are not available for redistribution.
A blank column for the data is provided in the spreadsheet.

g) MPEvents
-- Monetary policy event dates
Dates of FOMC policy decisions and Semiannual Testimony to Congress were
collected from
https://www.federalreserve.gov/monetarypolicy/fomc.htm and 
https://www.federalreserve.gov/newsevents/testimony.htm