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*******************************OVERVIEW*********************************

    Purpose of this read-me file.
This "read-me" file summarizes the data, description, batch, and output 
files for the the empirical results in:
   Neil R. Ericsson (November 2008)
   "The Fragility of Sensitivity Analysis: An Encompassing Perspective",
    International Finance Discussion Paper (IFDP) No. 959,
    Board of Governors of the Federal Reserve System, Washington, D.C.
A virtually identical version of this paper will be published as:
   Neil R. Ericsson (2008)
   "The Fragility of Sensitivity Analysis: An Encompassing Perspective",
    Oxford Bulletin of Economics and Statistics, volume 70.

    Distribution and citation.
These files may be used freely for non-commercial purposes, 
provided that proper attribution is made in any report or publication 
involving their application.  To facilitate replication and validation 
of empirical findings, please cite Ericsson (2008), as
referenced above.  E.g., in the acknowledgements footnote of an article 
reporting estimates of a model using this data, include the sentence: 
"The model estimated herein uses data from Ericsson (2008)."
The data, description, batch, and output files, either in whole or in part, 
may not be modified or be incorporated into any report, publication, computer 
program, or other media without the express, written consent of the author.

    Disclaimer.
These data, programs, and written material are provided only to facilitate 
further research. These data, programs, and written material come with 
no guarantee (implied or otherwise) that they are as intended or described.  
These data, programs, and written material are solely the responsibility 
of the author and not the responsibility of the Board of Governors of the 
Federal Reserve System or of other members of its staff.
The views expressed herein are solely the responsibility of the author 
and should not be interpreted as reflecting the views of the Board of 
Governors of the Federal Reserve System or other members of its staff.

    Feedback.
The author welcome feedback regarding the use of this data.  
Please send comments, suggestions, and new results to the contact address 
given below.

Author/Contact:                  Neil R. Ericsson (ericsson@frb.gov)
                                 Stop 15, Federal Reserve Board
                                 Washington, D.C. 20551 U.S.A.
                                 (1) (202) 452-3709 (office)
                                 (1) (202) 263-4850 (fax)
This is file:                    IFDP959-Ericsson-ReadMe-Nov2008.txt.
Date:                            November 22, 2008


*******************************THE DATA*********************************

United Kingdom narrow money demand data, quarterly, 1963Q1-1989Q2.
For details on the data, including their published sources, see:
David F. Hendry and Neil R. Ericsson (1991) "Modeling the Demand for 
   Narrow Money in the United Kingdom and the United States",
   European Economic Review, 35, 4, May, 833-881, with discussion.

Here is the OxMetrics dataset (.in7/.bn7 format) of the data.
   03/10/1993  09:20 AM            15,232 UKM1DATA.BN7
   03/10/1993  09:20 AM             1,371 UKM1DATA.IN7
The file UKM1info.doc is a Word file describing the data.
   03/16/1991  11:39 AM             4,110 UKM1INFO.DOC
The file UKM1data.zip is a PKZIPPED file that includes the three
files above, a pair of data files in an older OxMetrics format, and
ASCII files of the raw and transformed data.
The OxMetrics data files contain the same data as in the two
ASCII files combined.
   05/07/1997  02:52 PM            20,139 UKM1DATA.ZIP

Notation for the data.
        Uppercase denotes the level of the variable.
        Lowercase denotes the log of the variable.
        A suffix "_j" denotes the j-th lag of the variable.
        "D" denotes the first difference (Dx = x_{t} - x_{t-1} for x).

Raw data and transformations.
Mraw     Monetary aggregate M1, as published by the Bank of England
M        Monetary aggregate M1, adjusted for known definitional breaks
Y        Total final expenditure, 1985 prices, constructed as
              real GDP plus real imports
Y*P      Total final expenditure, nominal, constructed as
              nominal GDP plus nominal imports
R3x      3-month local authority interest rate, first month of the quarter
R3y      3-month local authority interest rate, second month of the quarter
R3z      3-month local authority interest rate, third month of the quarter
R3       3-month local authority interest rate, average of monthly values in
              the quarter, i.e., R3 = (R3x+R3y+R3z)/3
Rr       Interest rate on (M1) sterling retail sight deposits at banks
Rra      Learning-adjusted Rr (see Hendry and Ericsson (1991))
Dmp      The quarterly growth rate of real money: log(M/P) - log(M(-1)/P(-1))
Dp       The quarterly inflation rate: log(P/P(-1))
Dmpy_1   The lagged quarterly growth rate of the inverse of velocity:
              log(M/(P*Y)) - log( M(-1)/(P(-1)*Y(-1)) )
R*       The net interest rate as a fraction: (R3 - Rra)/100
mpy_1    The lagged log of the inverse of velocity: log( M(-1)/(P(-1)*Y(-1)) )
CONSTANT The value "1"


*********************THE BATCH AND OUTPUT FILES*************************

Output is from OxMetrics 5.10, PcGive 12.10, and Microsoft Excel.

Results for Table 1.
The OxMetrics output file (.out) is generated by the OxMetrics batch file (.fl).
   10/19/2008  02:52 PM             4,050 EncEBA-UKM1-EightModels.fl
   10/19/2008  03:59 PM            12,494 EncEBA-UKM1-EightModels.out

Results for Table 2.  
The Excel worksheet (.xls) and Adobe PDF files are equivalent.
   10/19/2008  05:38 PM            28,160 EncEBA-Bounds-Oct2008.xls
   10/19/2008  05:38 PM            73,665 EncEBA-Bounds-Oct2008.pdf


FINISHED.
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