This is the data file for Yi Wen's article "Granger Causality and Real Business Cycles" in the May/June 2007 issue of the Federal Reserve Bank of St. Louis REVIEW. 0. US data files: .dat ; .txt 1. Rats files: Granger test for Updated US data: Granger_new#.prg Granger test for artificial data generated from models: Granger#.prg 2. Gauss files: Standard RBC Model: kpr1_rbc.gss RBC model with sequential information structure: Wen.gss Scale economt model: Granger.gss (use this model to generate figure 1) 3. outputs generated from Gauss files are stored in .out files. ***************************************************************************************************************************************** * GCNQ1947.txt: Real Personal Consumption Expenditures- Nondurable Goods SAAR, Bil. Chn. 2000$(Department of Commerce. Bureau of * * Economic Analysis. GDP Press Release. Table 3.; Data prior to 1990 for chained 2000 dollars were calculated by Haver Analytics * * using chained quantity indexes.) * ***************************************************************************************************************************************** 474.2 482.7 484.5 478.1 478.1 483.0 479.0 485.8 488.3 489.4 485.6 492.4 498.4 503.7 512.7 501.9 514.6 508.8 520.2 526.0 522.6 534.9 543.5 550.8 555.0 557.5 553.6 553.2 557.3 555.4 562.6 572.0 576.3 586.2 590.7 602.9 609.0 607.3 607.8 612.3 614.3 617.3 626.3 623.3 615.8 620.3 630.8 638.3 645.0 650.6 654.2 658.7 658.4 666.0 661.4 662.0 666.3 673.3 673.7 683.2 689.3 692.5 697.7 701.9 704.8 707.8 713.5 713.9 727.4 740.8 754.2 756.7 765.4 774.0 785.2 812.5 819.9 827.1 832.7 829.5 835.9 839.9 840.5 845.2 863.7 874.7 888.3 888.1 896.6 901.1 902.6 908.0 917.4 919.3 925.4 932.7 935.8 939.3 939.3 947.1 953.1 976.5 990.3 1007.3 1018.4 1009.7 1015.6 1011.9 998.6 995.1 997.1 983.1 987.2 1008.5 1016.8 1019.9 1040.1 1054.0 1063.0 1072.2 1078.5 1076.5 1078.3 1098.0 1104.8 1116.9 1128.9 1142.5 1148.2 1143.6 1155.9 1165.3 1162.3 1147.3 1145.2 1151.4 1162.1 1165.6 1165.6 1167.4 1168.8 1170.6 1177.2 1188.6 1194.5 1206.4 1224.3 1236.5 1243.2 1265.4 1269.5 1276.7 1283.9 1294.2 1302.0 1312.3 1329.2 1343.8 1346.6 1359.4 1364.8 1377.0 1379.4 1386.7 1399.2 1413.7 1429.0 1445.2 1449.5 1450.9 1465.4 1479.3 1483.2 1486.4 1491.0 1475.3 1474.0 1485.6 1486.5 1475.9 1500.6 1498.7 1508.6 1532.6 1530.5 1544.4 1559.6 1566.8 1582.0 1597.0 1610.6 1626.0 1628.0 1636.2 1642.2 1648.0 1657.5 1677.0 1686.5 1700.7 1710.8 1711.4 1736.2 1743.0 1765.4 1787.2 1799.7 1825.5 1849.2 1867.9 1873.7 1915.7 1917.2 1944.0 1955.0 1972.7 1975.2 1974.7 1986.5 2010.3 2026.8 2033.4 2035.0 2053.1 2069.5 2079.1 2121.2 2137.3 2171.9 2186.1 2206.9 2236.5 2265.6 2285.9 2305.8 2334.2 2367.0 ***************************************************************************************************************************************** * GCQ1947.txt: Real Personal Consumption Expenditures SAAR, Bil.Chn.2000$ (Department of Commerce. Bureau of Economic Analysis. * * GDP Press Release. Table 3.) * ***************************************************************************************************************************************** 1017.2 1034.0 1037.5 1037.7 1042.6 1054.3 1056.1 1064.8 1066.1 1082.6 1085.0 1100.2 1118.9 1136.8 1195.3 1160.1 1187.4 1154.5 1167.9 1174.9 1178.1 1200.7 1206.0 1248.3 1263.4 1271.2 1268.2 1259.7 1264.3 1280.1 1297.1 1324.0 1353.5 1379.1 1396.1 1413.3 1415.5 1420.2 1423.4 1442.8 1452.7 1455.1 1467.0 1467.8 1447.3 1458.9 1482.2 1500.9 1525.9 1551.7 1569.2 1571.4 1585.6 1605.1 1598.5 1600.3 1600.2 1624.2 1632.1 1664.9 1682.7 1703.1 1717.0 1741.5 1753.1 1770.0 1794.0 1809.3 1845.2 1877.9 1912.6 1918.0 1960.3 1982.0 2016.0 2072.7 2103.2 2109.0 2133.1 2142.0 2154.6 2183.4 2194.5 2207.8 2260.3 2295.1 2338.2 2348.6 2375.0 2390.0 2401.0 2419.8 2434.4 2445.7 2467.1 2460.1 2507.4 2530.5 2550.7 2593.2 2627.6 2677.3 2718.4 2781.7 2832.0 2830.5 2840.6 2832.2 2807.8 2819.0 2831.6 2790.8 2814.6 2860.5 2901.2 2931.4 2989.7 3016.3 3047.9 3088.0 3124.6 3141.5 3171.4 3219.1 3237.3 3306.4 3320.8 3347.8 3365.3 3364.0 3397.3 3407.1 3401.7 3325.8 3362.0 3406.8 3421.3 3422.1 3435.7 3409.7 3432.2 3444.3 3470.8 3533.9 3568.5 3639.5 3704.1 3762.5 3794.9 3849.3 3879.1 3930.2 3996.2 4032.6 4109.1 4118.4 4152.7 4196.7 4269.5 4296.7 4298.6 4357.3 4406.3 4417.1 4490.6 4522.7 4560.5 4614.0 4631.2 4653.0 4697.3 4718.8 4757.1 4773.0 4792.6 4758.3 4738.1 4779.4 4800.1 4795.9 4875.0 4903.0 4951.8 5009.4 5027.3 5071.9 5127.3 5172.9 5230.3 5268.0 5305.7 5358.7 5367.2 5411.7 5458.8 5496.1 5544.6 5604.9 5640.7 5687.6 5749.1 5775.8 5870.7 5931.4 5996.8 6092.1 6165.7 6248.8 6311.3 6409.7 6476.7 6556.8 6661.3 6703.3 6768.0 6825.0 6853.1 6870.3 6900.5 7017.6 7042.2 7083.5 7123.2 7148.2 7192.2 7256.8 7360.7 7416.4 7501.4 7536.6 7617.5 7698.8 7764.9 7829.5 7907.9 7925.4 8026.7 ***************************************************************************************************************************************** * GCSQ1947.txt: Real personal Consumption Expenditures: Services SAAR, Bil.Chn.2000$ (Department of Commerce. Bureau of Economic * * Analysis. GDP Press Release. Table 3. Data prior to 1990 for chained 2000 dollars were calculated by Haver Analytics using * * chained quantity indexes.) * ***************************************************************************************************************************************** 485.2 491.5 490.9 489.3 498.3 505.4 511.9 515.9 518.6 522.0 520.7 522.5 530.1 545.5 553.2 559.6 569.1 573.0 578.2 580.3 588.2 595.8 604.0 613.6 618.8 627.2 630.9 627.0 634.3 647.5 658.3 665.3 675.8 680.1 686.5 699.6 706.7 715.0 723.7 734.2 738.8 744.6 749.2 758.1 759.9 772.9 783.4 787.8 796.6 812.1 824.2 835.0 844.9 853.0 853.3 862.1 871.3 887.2 890.6 906.7 914.8 929.4 937.7 950.0 954.4 965.1 984.5 998.1 1013.3 1027.8 1042.2 1056.9 1067.0 1081.9 1096.9 1115.1 1125.4 1139.0 1148.9 1164.5 1178.8 1193.1 1210.0 1219.5 1235.1 1255.9 1272.4 1288.7 1302.0 1316.2 1329.2 1347.3 1359.8 1367.2 1384.3 1395.1 1406.8 1421.3 1434.8 1457.5 1480.6 1498.9 1518.5 1547.5 1562.9 1579.9 1589.4 1597.2 1597.9 1614.3 1624.1 1641.0 1655.8 1674.2 1683.9 1703.3 1721.7 1732.9 1753.4 1781.4 1795.6 1807.0 1834.0 1854.1 1881.7 1907.0 1916.3 1926.0 1945.5 1963.6 1971.1 1984.4 1989.4 1977.7 2002.5 2032.7 2020.3 2037.2 2037.6 2041.2 2050.3 2060.9 2079.9 2116.8 2145.1 2176.1 2208.2 2233.5 2241.1 2263.0 2292.0 2322.9 2368.0 2389.8 2427.2 2449.0 2454.6 2465.1 2486.2 2512.1 2551.0 2575.1 2599.0 2622.2 2655.9 2674.3 2707.0 2728.7 2746.6 2759.5 2776.2 2805.7 2813.5 2849.5 2872.4 2871.3 2868.3 2896.8 2908.8 2925.8 2960.6 2987.9 3016.1 3038.7 3053.9 3065.4 3099.9 3123.5 3151.9 3167.9 3185.8 3200.9 3221.3 3251.2 3273.6 3293.4 3326.2 3345.4 3366.5 3385.9 3417.8 3446.9 3485.5 3521.6 3562.0 3602.0 3642.1 3653.7 3696.4 3738.5 3782.3 3815.0 3871.1 3908.2 3949.3 3986.8 3997.9 4016.0 4027.8 4051.2 4069.4 4095.7 4109.0 4127.4 4146.5 4169.7 4190.2 4229.4 4269.0 4288.6 4324.0 4362.1 4392.0 4417.6 4453.5 4482.6 4507.6 ***************************************************************************************************************************************** * GDPQ1947.txt: Real Gross Domestic Product SAAR, Bil.Chn.2000$ (Department of Commerce. Bureau of Economic Analysis. GDP Press * * Release. Table 3.) * ***************************************************************************************************************************************** 1570.5 1568.7 1568.0 1590.9 1616.1 1644.6 1654.1 1658.0 1633.2 1628.4 1646.7 1629.9 1696.8 1747.3 1815.8 1848.9 1871.3 1903.1 1941.1 1944.4 1964.7 1966.0 1978.8 2043.8 2082.3 2098.1 2085.4 2052.5 2042.4 2044.3 2066.9 2107.8 2168.5 2204.0 2233.4 2245.3 2234.8 2252.5 2249.8 2286.5 2300.3 2294.6 2317.0 2292.5 2230.2 2243.4 2295.2 2348.0 2392.9 2455.8 2453.9 2462.6 2517.4 2504.8 2508.7 2476.2 2491.2 2538.0 2579.1 2631.8 2679.1 2708.4 2733.3 2740.0 2775.9 2810.6 2863.5 2885.8 2950.5 2984.8 3025.5 3033.6 3108.2 3150.2 3214.1 3291.8 3372.3 3384.0 3406.3 3433.7 3464.1 3464.3 3491.8 3518.2 3590.7 3651.6 3676.5 3692.0 3750.2 3760.9 3784.2 3766.3 3760.0 3767.1 3800.5 3759.8 3864.1 3885.9 3916.7 3927.9 3997.7 4092.1 4131.1 4198.7 4305.3 4355.1 4331.9 4373.3 4335.4 4347.9 4305.8 4288.9 4237.6 4268.6 4340.9 4397.8 4496.8 4530.3 4552.0 4584.6 4640.0 4731.1 4815.8 4815.3 4830.8 5021.2 5070.7 5137.4 5147.4 5152.3 5189.4 5204.7 5221.3 5115.9 5107.4 5202.1 5307.5 5266.1 5329.8 5263.4 5177.1 5204.9 5185.2 5189.8 5253.8 5372.3 5478.4 5590.5 5699.8 5797.9 5854.3 5902.4 5956.9 6007.8 6101.7 6148.6 6207.4 6232.0 6291.7 6323.4 6365.0 6435.0 6493.4 6606.8 6639.1 6723.5 6759.4 6848.6 6918.1 6963.5 7013.1 7030.9 7112.1 7130.3 7130.8 7076.9 7040.8 7086.5 7120.7 7154.1 7228.2 7297.9 7369.5 7450.7 7459.7 7497.5 7536.0 7637.4 7715.1 7815.7 7859.5 7951.6 7973.7 7988.0 8053.1 8112.0 8169.2 8303.1 8372.7 8470.6 8536.1 8665.8 8773.7 8838.4 8936.2 8995.3 9098.9 9237.1 9315.5 9392.6 9502.2 9671.1 9695.6 9847.9 9836.6 9887.7 9875.6 9905.9 9871.1 9910.0 9977.3 10031.6 10090.7 10095.8 10138.6 10230.4 10410.9 10502.6 10612.5 10704.1 10808.9 10897.1 10999.3 11089.2 11202.3 11248.3 11394.7 ***************************************************************************************************************************************** * GGQ1947.txt: Real Government Consumption Expenditures & Gross Investment SAAR, Bil.Chn.2000$ (Department of Commerce. Bureau of * * Economic Analysis. GDP Press Release. Table 3.) * ***************************************************************************************************************************************** 335.4 337.4 340.5 335.4 342.0 358.4 365.5 381.0 391.7 409.5 413.7 404.7 397.9 404.3 396.7 422.3 467.2 531.4 591.5 623.9 643.7 665.3 672.0 684.1 707.1 722.6 713.9 711.9 692.6 668.0 651.9 647.8 647.1 640.5 644.5 630.5 630.0 643.3 637.3 653.6 667.2 662.8 668.0 680.2 672.5 689.4 693.6 708.3 703.7 714.4 723.4 715.6 701.3 707.0 724.1 729.1 738.6 740.3 754.9 771.4 785.2 789.4 807.3 808.5 803.6 802.6 837.0 829.4 832.3 837.8 838.3 835.9 834.0 844.6 873.8 892.7 908.7 924.8 949.7 965.1 1006.1 1000.6 1011.0 1018.0 1035.6 1040.3 1042.6 1043.3 1044.4 1040.0 1041.4 1026.0 1020.5 1007.3 1011.8 1011.8 995.4 992.3 991.5 984.1 987.7 993.8 973.3 979.4 988.9 983.1 970.5 977.6 998.1 1004.7 1006.2 1009.8 1022.1 1014.2 1032.2 1040.9 1043.4 1032.0 1026.6 1025.8 1035.1 1045.8 1047.7 1044.4 1046.1 1074.3 1082.9 1092.7 1082.9 1094.4 1095.9 1103.1 1120.8 1124.3 1108.8 1107.7 1122.5 1124.9 1122.3 1132.7 1131.5 1138.2 1146.0 1165.8 1174.6 1184.6 1205.2 1184.8 1196.6 1222.4 1231.4 1257.9 1272.2 1300.8 1334.6 1342.6 1357.1 1385.9 1417.5 1409.6 1413.2 1423.1 1425.6 1445.1 1436.7 1439.9 1438.0 1465.9 1456.7 1479.2 1493.0 1501.0 1524.2 1526.8 1526.7 1542.2 1548.4 1553.7 1546.6 1540.4 1552.3 1550.7 1559.0 1559.3 1543.0 1541.4 1537.0 1542.7 1527.1 1533.7 1558.8 1545.5 1551.9 1558.2 1553.2 1535.5 1544.9 1570.3 1565.1 1579.2 1581.6 1598.1 1598.5 1597.9 1589.1 1621.4 1636.0 1651.1 1662.2 1672.3 1693.1 1720.2 1707.3 1730.5 1721.5 1727.1 1749.6 1783.0 1776.1 1812.7 1832.0 1853.4 1863.9 1885.8 1884.4 1917.5 1920.1 1922.6 1938.4 1949.5 1958.4 1962.8 1971.9 1984.1 1998.1 1994.1 2015.2 ***************************************************************************************************************************************** * GINQ1947.txt: Real Private Nonresidential Fixed Investment SAAR, Bil.Chn.200$ (Department of Commerce. Bureau of Economic * * Analysis. GDP Press Release. Table 3. Data prior to 1990 for chained 2000 dollars were calculated by Haver Analytics using * * chained quantity indexes.) * ***************************************************************************************************************************************** 102.7 101.1 99.1 102.3 108.6 104.8 105.1 107.8 102.7 98.7 93.8 92.1 94.8 103.2 112.5 112.3 109.4 110.9 112.2 109.9 110.3 111.5 101.4 110.6 116.7 117.5 120.1 118.7 115.1 113.9 117.0 116.7 118.8 126.3 132.7 136.3 133.8 135.9 137.0 136.7 137.6 137.3 140.2 136.5 126.7 121.2 119.4 123.8 127.7 131.6 135.8 135.2 140.4 142.6 139.1 138.3 135.4 138.2 139.3 144.0 147.3 151.7 153.7 152.6 152.4 157.3 162.0 167.3 171.5 175.9 181.8 185.6 198.1 205.6 213.3 222.4 232.1 235.7 238.5 237.9 232.9 232.1 230.9 235.6 243.1 238.9 242.0 249.2 256.5 259.3 266.4 264.8 263.2 261.8 263.2 253.3 255.7 259.4 260.4 266.1 275.0 279.6 283.9 298.6 312.7 325.4 330.9 333.5 333.1 332.4 328.5 319.4 299.8 292.0 294.7 297.4 302.9 306.5 313.2 319.4 331.8 341.3 348.6 360.4 363.9 394.6 408.6 421.9 431.3 429.9 443.3 444.5 449.3 426.5 429.6 438.7 445.7 454.7 465.7 477.0 465.5 448.9 433.8 425.0 417.2 422.2 441.2 469.8 485.1 509.3 526.1 538.9 545.1 552.9 544.4 553.8 546.2 532.5 524.7 530.0 515.5 527.9 544.9 543.7 547.8 561.3 564.2 570.1 579.8 588.0 604.9 596.0 603.9 593.5 597.2 585.8 570.7 565.3 559.9 556.9 554.5 576.5 588.2 606.0 609.6 625.9 632.8 659.3 665.9 679.3 692.0 722.6 752.1 757.4 762.5 777.9 797.1 820.0 847.3 870.1 892.2 914.3 961.1 969.0 1001.6 1032.5 1042.4 1074.7 1094.0 1127.3 1154.4 1157.3 1196.7 1238.6 1245.2 1247.9 1234.4 1190.2 1169.3 1128.2 1090.3 1073.3 1068.0 1054.5 1051.6 1072.9 1101.8 1113.7 1135.1 1171.6 1204.8 1235.1 1252.2 1279.0 1305.2 1319.7 1361.0 ***************************************************************************************************************************************** * GIVQ1947.txt: Real Change in Private Inventories SAAR, Bil.Chn.2000$ (Department of Commerce. Bureau of Economic Analysis. GDP * * Press Release. Table 3.) * ***************************************************************************************************************************************** 4.7 -3.1 -12.3 -2.1 10.0 19.4 22.7 17.5 -1.8 -15.8 -3.5 -15.7 6.6 9.5 12.7 40.7 25.2 36.7 24.1 10.3 13.0 -3.2 14.5 14.4 11.7 11.4 7.0 -6.0 -5.3 -8.5 -6.8 -2.6 10.1 14.9 13.6 18.8 15.9 11.0 8.5 7.5 4.0 5.9 8.6 -8.0 -10.0 -8.7 4.4 11.5 9.2 23.4 2.7 14.0 34.2 9.7 14.0 -16.3 -7.2 6.2 21.3 17.6 27.9 17.5 20.5 12.0 24.1 16.0 18.5 13.3 14.5 13.9 16.7 16.5 36.8 26.5 30.0 24.0 42.4 40.3 36.3 49.4 45.8 21.0 27.8 26.4 24.4 43.8 23.3 18.1 33.2 28.0 30.8 16.0 3.9 14.8 14.4 -12.9 34.0 29.9 27.9 -2.7 9.9 34.0 35.0 13.3 20.9 47.2 21.4 50.5 24.0 33.1 11.7 34.9 -13.8 -25.9 -5.2 -0.4 28.2 41.9 39.4 13.4 26.5 32.6 60.6 34.2 39.2 38.6 40.4 46.2 36.6 40.0 15.3 8.5 11.3 10.0 -42.6 -10.7 48.7 13.4 52.1 25.4 -24.4 -4.6 6.6 -47.5 -42.3 -5.8 -4.9 27.4 81.0 75.6 78.7 49.9 16.3 23.3 18.8 36.2 33.7 17.4 -7.6 -10.4 33.4 18.7 0.5 68.7 16.9 20.5 20.0 23.6 49.7 37.5 10.2 15.9 14.1 33.9 22.8 -9.3 -14.4 -18.1 -0.1 30.7 1.8 22.9 19.6 21.5 36.7 24.3 7.0 14.5 46.3 83.0 51.7 73.4 60.8 34.6 7.9 16.2 3.0 24.5 57.5 29.9 34.7 94.2 72.3 83.4 116.9 50.4 64.2 58.9 79.5 41.7 50.8 103.5 26.9 99.3 56.2 43.5 -7.8 -2.5 -29.9 -86.7 -10.2 2.6 28.0 29.5 24.0 -0.4 9.3 29.0 41.9 65.6 50.4 50.1 58.2 -1.7 -13.3 37.9 32.3 ***************************************************************************************************************************************** * GNXQ1947.txt: Real Net Exports of Goods & Services SAAR, Bil.Chn.2000$ (Department of Commerce. Bureau of Economic Analysis. * * GDP Press Release. Table 3. * ***************************************************************************************************************************************** 32.2 30.6 32.1 21.5 12.9 5.0 3.6 2.5 10.7 11.0 7.9 -0.4 -2.6 -4.8 -16.2 -12.3 -9.5 -1.7 5.2 6.2 2.9 -4.1 -12.7 -18.3 -17.5 -20.8 -18.4 -16.6 -14.8 -13.4 -10.9 -8.9 -10.8 -16.4 -13.7 -16.2 -16.6 -11.5 -9.8 -2.5 -3.8 -7.0 -7.6 -10.2 -19.1 -22.5 -21.1 -26.3 -23.6 -26.2 -24.9 -24.3 -18.4 -13.6 -12.8 -6.0 -6.2 -8.7 -15.7 -15.5 -19.0 -12.5 -19.6 -23.1 -18.2 -9.7 -18.4 -12.9 -6.3 -7.1 -11.2 -11.3 -19.3 -14.2 -21.9 -20.2 -26.2 -24.5 -37.9 -35.7 -35.7 -35.6 -40.9 -46.2 -52.7 -52.9 -56.3 -56.4 -54.8 -62.2 -63.1 -55.5 -53.5 -50.8 -50.8 -52.7 -49.5 -66.0 -64.3 -62.7 -78.2 -74.3 -69.1 -72.8 -71.1 -53.6 -45.7 -37.3 -25.7 -28.1 -36.1 -27.8 -0.6 11.1 -10.2 -10.0 -26.7 -35.5 -39.6 -46.4 -63.8 -60.2 -54.1 -66.2 -81.0 -56.7 -58.0 -51.8 -50.6 -51.7 -36.4 -25.2 -16.8 13.7 35.5 18.0 11.0 12.3 8.9 1.3 -3.5 3.5 -24.8 -25.7 -28.3 -51.8 -74.2 -86.4 -111.2 -121.1 -125.5 -132.1 -121.7 -145.0 -145.2 -153.8 -142.9 -159.8 -166.0 -156.9 -153.3 -151.5 -145.4 -143.1 -117.8 -99.2 -103.6 -106.5 -91.3 -78.7 -73.6 -72.9 -63.8 -63.6 -58.1 -33.2 -18.3 -14.3 -16.0 -9.6 -4.7 -20.2 -15.9 -23.0 -37.4 -48.6 -59.4 -63.0 -73.8 -83.0 -79.0 -81.9 -86.0 -87.7 -57.1 -53.1 -68.2 -81.2 -104.3 -64.9 -89.0 -93.1 -108.8 -127.6 -163.7 -205.1 -223.9 -222.3 -262.1 -295.2 -313.9 -313.7 -350.6 -374.5 -395.6 -397.2 -398.2 -385.2 -398.4 -414.5 -441.3 -458.9 -472.2 -513.0 -510.7 -528.4 -516.2 -530.2 -563.0 -601.7 -606.5 -634.1 -645.4 -614.2 -617.5 -655.2 -669.9 ********************************************************************************************************************************* ********************************************************************************************************************************* *********************************************************************************************************************************