In this folder you will find all the code and data necessary to replicate the results of the paper.

The material is organized by section: 

- In the directory "S6_MCSimulation" you will find the code to produce the Monte Carlo study reported in section 6 of the paper.
--- "S621_CointegratedDynamicFactor", "S622_UnivariateLocalLevel" and "S623_MultivariateLocalLevel" contain each of them the code needed to produce the results in subsections 6.2.1, 6.2.2 and 6.2.3.
--- In each subdirectory you will find a "Readme.txt" file explaining how to modify the settings of the simulation.
--- Beware that executing the simulations with the amount of simulated samples used in the paper may take considerable computer time and memory.
--- We have included a minimum output produced during test of the codes with number of replicas set to S=10. This output is not used in the paper.
--- We have not included the full output used in the paper (which can be replicated from the code) for economy of space. Please, contact us if you would like us to provide you with such output.

- In the directory "S7_EmpiricalApplication" you will find the code to replicate the empirical application reported in section 7 of the paper.
--- You will find a "Readme.txt" file giving more detail on how to execute the programs to the effect of replication.
--- Beware that executing the MCMC algorithm with the amount of draws used in the paper may take considerable computer time and memory.
--- We have not included the full output from the MCMC algorithm for economy of space again. Should you need it, please, contact any of us.

Kind regards,
Tincho, Dante and Enrique.

