(1) Figure 1 and 2. See folder named Monte-Carlo and associated instructions in readme.txt

(2) Figure 3 and Figure 4
     (a) Step 1: Run estimate.m in \CODE\Empirical\ProxyVAR
     (b) Step 2: Run estimate.m \CODE\Empirical\recursiveVAR
     (c) run figure3.m and figure4.m
(3) Figure5
    a) Step 1: Run estimate.m in \CODE\Empirical\extended\Proxy
     (b) Step 2: Run estimate.m \CODE\Empirical\extended\recursive
     (c) run figure5.m
(4) Figure 6 and figure 7
   Run estimate.m in folders: figure6and7\figure6  and figure6and7\figure7

(5) figure 8
   Run estimatealt.m in \CODE\Empirical\ProxyVAR
   Runfigure8.m

getvdecomp.m in the proxyvar and recursivevar folders calculates the variance decomposition for Table 1.