clear;
clc;

% real gdp per capita from FRED, logged and filtered. 
real_gdp_pc = xlsread("A939RX0Q048SBEA.csv");
real_gdp_pc = real_gdp_pc(134:293);
real_gdp_pc_log = log(real_gdp_pc);
[~,real_gdp_pc_log_hp]=one_sided_hp_filter_kalman(real_gdp_pc_log);
y_obs = real_gdp_pc_log_hp;

% quarterly cpi from FRED
cpi = xlsread("CPALTT01USQ661S.csv");
cpi = cpi(81:241);
% gross inflation rate as log difference +1
inflation = diff(log(cpi))+1;
pie = inflation; 

% quarterly Fed Funds (annualized) from FRED
fed_funds = xlsread("BOGZ1FL072052006Q.csv");
fed_funds = fed_funds(104:263);
% gross de-annualized interest rate as FF/400 + 1
fed_funds_qt_gr = fed_funds/400 + 1;
R = fed_funds_qt_gr;

save RCC_data