VAR_forweb.m - the main .m file: loads data, runs VAR and plots figures. It uses fubctions instrum.m, instrumF.m and irfinst.m.
DataVAR_forweb.xlsx - data file, contains macro variables for UK
Surprises_forweb.xslx - data file, contains instruments constructed from SS futures.

  
Please download US data from https://www.aeaweb.org/articles?id=10.1257/mac.20130329