Replication files for "Identification and Estimation of Dynamic Causal Effects in Macroeconomics" by James Stock and Mark Watson Draft: June 8, 2017 The data used the analysis is in the Excel File sargan_gk.xlsx (re-written in ASCII form as sargan_gk.m79). In this file, the first six series are from FRED (see README tab in the file). The final four series in the file (ff4_tc, ebp, mortg_spread,cp3m_spread_m) are from the Gilchrist-Karadi replication materials. The data used to estimate the macro factors are in fred_md_201704.xlsx, which is from FRED. (1) The macro factors are computed in fred_md_estimate_factors.m (2) The results for Tables 1 and 2 in the paper are from Sargan_Tables_1_2.m. (The program isn't well organized. Sorry ... )