Housing and the Business Cycle: Data Appendix

This paper serves as an empirical companion piece for "Housing and the Business Cycle" by Davis and Heathcote (2000). A large part of the paper is devoted to documenting the growth, variability, and co-movement of major macroeconomic variables. We pay particular attention to the business cycle facts relating to residential investment and house prices. We describe a method for using the NIPA Input-Output tables to allocate value added in final goods across three intermediate goods sectors: construction, manufacturing, and services. We apply this method to estimate the 1992 shares of the three intermediate inputs in consumption, residential investment, business investment, and GDP. We construct time series for Solow residuals in our three intermediate sectors using sector-specific estimates of capital's share and annual data on sector outputs, capital stocks, and hours. Finally, we use a GMM approach to consistently estimate quarterly AR(1) productivity processes given these annual residuals.