Documentation for program files and dataset for E. Peneva and J. Rudd,
"The Passthrough of Labor Costs to Price Inflation"

February 21, 2017



* ******************

*** Program files:

The following sets of programs (which were run on a LINUX platform using the RATS
econometric software package) were used to produce the results in the paper.

Note that the programs that estimate the time-varying parameter VARs call the RATS
procedure VARTVPSV.latest.src, which implements the estimation algorithm.  In addition,
the estimation programs save coefficient and volatility estimates to a number of output
files that are then analyzed by other programs to compute various statistics of interest
such as impulse response functions, time-varying stochastic volatilities, stochastic trends,
and historical decompositions.  (The directory that these files are saved to is specified
by the user in the estimation routine; the same directory should then be specified in the
programs that are used to analyze the output.)

Note also that when a large number of draws is specified, these programs can take several
days to run, and will produce a very large amount of saved output.


** 1. Time-varying parameter VAR for P&C-based trend unit labor costs (pandc_tvpmod/ directory):

*  a. Program TVPest_pandc.rpf performs the estimation.

*  b. Program histdecomp_pandc.rpf analyzes the saved files from the estimation routine, and
      produces the impulse response functions shown in Figure 1 of the paper, the time-varying
      stochastic volatility series shown in Figure 3, and the historical decompositions shown
      in Figure 6.  (A text file containing the results from a sample run of this program, which
      can be used to reproduce these figures, is included as histdecomp_pandc.out.)

*  c. Program trendcalc_pandc.rpf analyzes the saved files from the estimation routine, and
      produces the stochastic trends shown in Figure 5.  (A text file containing the results
      from a sample run of this program, which can be used to reproduce Figure 5, is included
      as trendcalc_pandc.out.)


** 2. Time-varying parameter VAR for ECI-based trend unit labor costs (eci_tvpmod/ directory):

*  a. Program TVPest_eci.rpf performs the estimation.

*  b. Program histdecomp_eci.rpf analyzes the saved files from the estimation routine, and
      produces the impulse response functions shown in Figure 2 of the paper, the time-varying
      stochastic volatility series shown in Figure 3, and the time-varying impulse responses
      shown in Figure 7.  (A text file containing the results from a sample run of this program,
      which can be used to reproduce these figures, is included as histdecomp_eci.out.)


** 3. Constant-coefficient VAR for ECI-based trend unit labor costs (eci_constcoeffmod/ directory):

*  a. Program eci_cc_var.rpf estimates the VAR model and produces the historical decompositions
      shown in Figure 8 of the paper.  (A text file containing the results from a sample run of
      this program, which can be used to reproduce Figure 8, is included as eci_cc_var.out.)



* ******************

*** Datasets (datasets/ directory):

The data series used in the paper are in the ASCII file wp_data1.txt (this dataset was constructed using
the PORTABLE format option in RATS; for convenience, a copy of this dataset in RATS format--which can
also be directly read by the RATS code--is included as wp_data1.rat).  All required data transformations
are performed in the relevant programs.

The text file wp_data_dictionary.txt is a data dictionary that gives descriptions of each of the variables
included in the dataset.



[End of README.txt]
