The sample includes five countries: Australia (1960:1 - 2001:2), Canada (1961:1 - 2001:4),
West Germany (1960:1 - 1989:4) (Germany for short from now on), United Kingdom
(1963:1 - 2001:2), and United States (1960:1 - 2001:4). Throughout much of the analysis, I will divide the sample into two parts: the start date up to 1979:4, and 1980:1 to the end
date. For Germany, the break date is 1974:4. The two subsamples will be called S1 and
S2, for brevity.
The breakdates above fall almost exactly in the middle of the sample. In addition, 1980
is typically around the center of confidence intervals for estimated breaks in coefficients of
monetary policy VARs, and of the data generating process of several macroeconomic time
series (see e.g. Blanchard and Simon [2001] and Stock and Watson [2002] and [2003]).