Data files and Gauss code files for "The time-varying volatility of earnings and aggregate consumption growth" 
by Lorenzo Pozzi 


1. Data files (used in code files)
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Micro.txt
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Column 1: cross section id
Column 2: year
Column 3: ln(y) ( = log earnings, in real terms)
Column 4: ln(c) ( = log food consumption, in real terms)

Macro.txt
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Column 1: year
Column 2: dln(C)     ( = growth rate real per capita expenditures non-durables and services)
Column 3: ln(C(-1))  ( = log real per capita expenditures non-durables and services, lagged 1 period)
Column 4: R          ( = real interest rate)
Column 5: ln(C)      ( = log real per capita expenditures non-durables and services)


2. Code files (Gauss)
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IID panel ML.txt
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Code to calculate panel maximum likelihood estimates of individual earnings process (assuming i.i.d-ness)


ARCH panel ML.txt
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Code to calculate panel maximum likelihood estimates of individual earnings process (assuming ARCH process for variance)


GARCH panel ML.txt
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Code to calculate panel maximum likelihood estimates of individual earnings process (assuming GARCH process for variance)


AGGREGATE ML.txt
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Code to calculate maximum likelihood estimates of aggregate income process (assuming i.i.d-ness)


Reduced.txt
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Code to calculate reduced form equations for aggregate consumption growth (OLS and IV)


Structural.txt
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Code to calculate parameter estimates structural model (1-step and 2-step GMM)


Reduced_GARCH_bootstrap.txt
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Code to calculate bootstrapped standard errors for coefficient estimates reduced form regressions 
(OLS and IV; generated regressor based on GARCH process)


Structural_GARCH_bootstrap.txt
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Code to calculate bootstrapped standard errors for coefficient estimates structural model

