These files contain the data and the programs (MATLAB and Eviews) for the paper "On the Instability of Long-run Money Demand and the Welfare Cost of Inflation in the U.S." (Mogliani and urga)

Data.xlsx and data_usa.wf1 are, respectively, an MS Excel spreadsheet and an Eviews workfile that contain the annual data, 1900-2013, used for the econometric analysis.

analysis_usa_ll.prg is an Eviews program that loads data_usa.wf1 and compute preliminary analysis, cointegration and breaks dating.

break_fh_usa_m1rsy_r_LL.m and break_tests3.m are MATLAB files that load the data (Data.xlsx) and the break dates (computed with analysis_usa_ll.prg) and perform the Kejriwal-Perron test.

resid_usa.xlsx is an MS Excel spreadsheet that cointains the estimated residuals from the cointegrating regressions with/without breaks.

shin.m, cs_coint2breaks.m, and cs.m are MATLAB files that perform the residual-based test of cointegration of Shin and its version with breaks by Carrion-i-Silvestre-Sans and Arai-Kurozumi.
 

The programs are written for Eviews version 9 and MATLAB Version 2015a. Please address any questions to matteo.mogliani@banque-france.fr.

Matteo Mogliani
Banque de France
International Macroeconomics Division
